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Testing serial correlation in semiparametric panel data models

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  • Li, Q.
  • Hsiao, C.

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  • Li, Q. & Hsiao, C., 1998. "Testing serial correlation in semiparametric panel data models," Journal of Econometrics, Elsevier, vol. 87(2), pages 207-237, September.
    • Handle: RePEc:eee:econom:v:87:y:1998:i:2:p:207-237
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    3. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
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    9. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
    10. Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 5-27, July.
    11. Baltagi, Badi H. & Hidalgo, Javier & Li, Qi, 1996. "A nonparametric test for poolability using panel data," Journal of Econometrics, Elsevier, vol. 75(2), pages 345-367, December.
    12. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
    13. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 26-29, January.
    14. Li, Qi, 1996. "On the root-N-consistent semiparametric estimation of partially linear models," Economics Letters, Elsevier, vol. 51(3), pages 277-285, June.
    15. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 1-9, January.
    16. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
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    3. Kien Tran & Efthymios Tsionas, 2010. "Local GMM Estimation of Semiparametric Panel Data with Smooth Coefficient Models," Econometric Reviews, Taylor & Francis Journals, vol. 29(1), pages 39-61.
    4. Jiti Gao & Maxwell King, 2011. "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers 20/11, Monash University, Department of Econometrics and Business Statistics.
    5. Zongwu Cai & Ying Fang & Henong Li, 2012. "Weak Instrumental Variables Models for Longitudinal Data," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 361-389.
    6. Huang, Bai & Lee, Tae-Hwy & Ullah, Aman, 2020. "Combined estimation of semiparametric panel data models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 30-45.
    7. Badi H. Baltagi & Georges Bresson & Jean-Michel Etienne, 2020. "Growth Empirics: a Bayesian Semiparametric Model With Random Coefficients for a Panel of OECD Countries," Advances in Econometrics, in: Essays in Honor of Cheng Hsiao, volume 41, pages 217-253, Emerald Group Publishing Limited.
    8. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    9. Neckermann, Susanne & Cueni, Reto & Frey, Bruno S., 2014. "Awards at work," Labour Economics, Elsevier, vol. 31(C), pages 205-217.
    10. Kui-Wai Li, 2014. "An analysis on economic opportunity," Applied Economics, Taylor & Francis Journals, vol. 46(33), pages 4060-4074, November.
    11. Green, Carl & Long, Wei & Hsiao, Cheng, 2015. "Testing error serial correlation in fixed effects nonparametric panel data models," Journal of Econometrics, Elsevier, vol. 188(2), pages 466-473.
    12. Tianyong Zhang & Demei Yuan & Jiali Ma & Xuemei Hu, 2017. "Assessing white noise assumption with semi-parametric additive partial linear models," Statistical Papers, Springer, vol. 58(2), pages 417-431, June.
    13. Gao, Jiti & King, Maxwell, 2003. "Estimation and model specification testing in nonparametric and semiparametric econometric models," MPRA Paper 11989, University Library of Munich, Germany, revised Feb 2006.
    14. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    15. Polemis, Michael L. & Stengos, Thanasis, 2015. "Does market structure affect labour productivity and wages? Evidence from a smooth coefficient semiparametric panel model," Economics Letters, Elsevier, vol. 137(C), pages 182-186.
    16. Hübler, Olaf, 2005. "Panel Data Econometrics: Modelling and Estimation," Hannover Economic Papers (HEP) dp-319, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    17. König, Anja, 1997. "Schätzen und Testen in semiparametrischen partiell linearen Modellen für die Paneldatenanalyse," Hannover Economic Papers (HEP) dp-208, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    18. Cai, Zongwu & Li, Qi, 2008. "Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1321-1342, October.
    19. Hu, Xuemei & Wang, Zhizhong & Liu, Feng, 2008. "Zero finite-order serial correlation test in a semi-parametric varying-coefficient partially linear errors-in-variables model," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1560-1569, September.
    20. Neophyta Empora & Theofanis Mamuneas, 2011. "The Effect of Emissions on U.S. State Total Factor Productivity Growth," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 3(2), pages 149-172, October.
    21. Baltagi, Badi H. & Li, Qi, 2002. "On instrumental variable estimation of semiparametric dynamic panel data models," Economics Letters, Elsevier, vol. 76(1), pages 1-9, June.
    22. Neophyta Empora, 2017. "Air pollution spillovers and U.S. state productivity growth," University of Cyprus Working Papers in Economics 06-2017, University of Cyprus Department of Economics.
    23. Susanne Neckermann & Reto Cueni & Bruno S. Frey, 2009. "What is an Award Worth? An Econometric Assessment of the Impact of Awards on Employee Performance," CESifo Working Paper Series 2657, CESifo.
    24. Dingding Li & Thanasis Stengos, 2003. "Testing Serial Correlation in Semiparametric Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 311-335, May.

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