Pesaran and Yamagata (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.
Pagination
1-12Language
engNotes
School working paper (Deakin University. School of Accounting, Economics and Finance) ; 2014/04
Pesaran and Yamagata (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.Publication classification
CN.1 Other journal article, C Journal articleCopyright notice
2014, The AuthorsPublisher
Deakin University, School of Accounting, Economics and FinancePlace of publication
Geelong, Vic.Series
School Working Paper - Financial Econometrics Series ; SWP 2014/04
