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A joint test for serial correlation and heteroscedasticity in fixed-T panel regression models with interactive effects

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  • Wu, Jianhong

Abstract

In this paper, a joint test is proposed for serial correlation and heteroscedasticity in fixed-T panel regression models with interactive effects. If the idiosyncratic errors are serially uncorrelated and homoscedastic, the proposed test can be shown to be asymptotically chi-square distributed under some mild conditions. A small Monte Carlo simulation experiment is carried out for illustrations.

Suggested Citation

  • Wu, Jianhong, 2020. "A joint test for serial correlation and heteroscedasticity in fixed-T panel regression models with interactive effects," Economics Letters, Elsevier, vol. 197(C).
    • Handle: RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520303578
    DOI: 10.1016/j.econlet.2020.109594
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    References listed on IDEAS

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    More about this item

    Keywords

    CCE method; Heteroscedasticity; Interactive effects; Panel data; Serial correlation;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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