Testing Slope Homogeneity in Large Panels with Serial Correlation

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.

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Authors:	Blomquist, Johan ; JoakimWesterlund
Institutions:	Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance
Subject:	Homogeneity \| Panel data \| Serial correlation \| Heteroskedasticity

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Extent:	application/pdf
Series:	Financial Econometics Series.
Type of publication:	Book / Working Paper
Notes:	Number 2014_04 1 pages long
Classification:	C32 - Time-Series Models ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010741278