Testing slope homogeneity in large panels with serial correlation
Testing slope homogeneity in large panels with serial correlation
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DOI：
10.1016/j.econlet.2013.09.012
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发表时间：
2013-12-01
影响因子：
2
通讯作者：
Westerlund, Joakim
中科院分区：
文献类型：
--
作者：
Blomquist, Johan;Westerlund, Joakim
Pesaran和Yamagata（Pesaran，M.H.，Yamagata，T.，Testing slope homogeneity in large panels，Journal of Econometrics 142，50-93，2008）提出了一种用于大面板中的斜率均匀性的检验，其在文献中已经变得非常流行。然而，该测试不能处理实际相关的情况下，异方差和/串行相关的错误。本说明提出了一个兼顾这两个特点的通用检验方法。(C)2013爱思唯尔有限公司版权所有。
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. (C) 2013 Elsevier B.V. All rights reserved.