Testing slope homogeneity in large panels with serial correlation

Blomquist, Johan and Westerlund, Joakim 2013, Testing slope homogeneity in large panels with serial correlation, Economics letters, vol. 121, no. 3, pp. 374-378, doi: 10.1016/j.econlet.2013.09.012.

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Title Testing slope homogeneity in large panels with serial correlation
Author(s) Blomquist, Johan
Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Journal name Economics letters
Volume number 121
Issue number 3
Start page 374
End page 378
Total pages 5
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2013-12
ISSN 0165-1765
1873-7374
Keyword(s) C32
C33
Heteroskedasticity
Homogeneity
Panel data
Serial correlation
Social Sciences
Economics
Business & Economics
Summary Pesaran and Yamagata (Pesaran, M.H., Yamagata, T., Testing slope homogeneity in large panels, Journal of Econometrics 142, 50-93, 2008) propose a test for slope homogeneity in large panels, which has become very popular in the literature. However, the test cannot deal with the practically relevant case of heteroskedastic and/serially correlated errors. The present note proposes a generalized test that accommodates both features. © 2013 Elsevier B.V.
Language eng
DOI 10.1016/j.econlet.2013.09.012
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2013, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078213

Document type: Journal Article
Collections: Faculty of Business and Law
Deakin Business School
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