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dc.contributor.authorJochmans, Koenen
dc.contributor.authorVerardi, Ven
dc.date.accessioned2019-05-17T15:21:24Z
dc.date.available2019-05-17T15:21:24Z
dc.date.issued2019-04-26en
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/292958
dc.description.abstractWe introduce the command xtserialpm to perform the portmanteau test developed in Jochmans (2019). The procedure tests for serial correlation in the errors of a linear panel model after estimation of the regression coefficients by the within-group estimator. The test is different from the test of Inoue and Solon (2006) that is performed by xtistest (Wursten 2018) in that it allows for heteroskedasticity. In simulations documented below, xtserialpm is found to provide a much more powerful test than xtistest. xtserialpm can deal with unbalanced panel data.en
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.subjectxtserialpmen
dc.subjectheteroskedasticityen
dc.subjectfixed-effect modelen
dc.subjectportmanteau testen
dc.subjectserial correlationen
dc.subjectshort panel dataen
dc.subjectunbalanced panelexponential regressionen
dc.subjectgravity modelen
dc.subjectpanel dataen
dc.subjecttwo-way fixed effectsen
dc.titlextserialpm: A portmanteau test for serial correlation in a linear panel modelen
dc.typeWorking Paper
prism.issueIdentifierCWPE1944en
prism.publicationDate2019en
prism.publicationNameCambridge Working Papers in Economicsen
dc.identifier.doi10.17863/CAM.40108
rioxxterms.versionofrecord10.17863/CAM.40108en
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserveden
rioxxterms.licenseref.startdate2019-04-26en
dc.contributor.orcidJochmans, Koen [0000-0002-3090-3003]
rioxxterms.typeWorking Paperen
pubs.funder-project-idEuropean Commission Horizon 2020 (H2020) ERC (715787)
dc.identifier.urlhttp://www.econ.cam.ac.uk/research/cwpe-abstracts?cwpe=1944en


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