Hostname: page-component-586b7cd67f-vdxz6 Total loading time: 0 Render date: 2024-11-24T05:34:01.107Z Has data issue: false hasContentIssue false
  • English
  • Français

A PORTMANTEAU TEST FOR CORRELATION IN SHORT PANELS

Published online by Cambridge University Press:  22 July 2019

Koen Jochmans
Koen Jochmans*
Affiliation:
University of Cambridge
*
Address correspondence to Koen Jochmans, Faculty of Economics, University of Cambridge, Austin Robinson Building, Sidgwick Avenue, Cambridge CB3 9DD, UK; e-mail: [email protected].
Get access Rights & Permissions [Opens in a new window]

Abstract

Inoue and Solon (2006, Econometric Theory 22, 835–851) presented a test against serial correlation of arbitrary form in fixed-effect models for short panel data. Implementing the test requires choosing a regularization parameter that may severely affect power and for which no optimal selection rule is available. We present a modified version of their test that does not require any regularization parameter. Asymptotic power calculations illustrate the improvement of our procedure. An extension of the approach that accommodates dynamic models is also provided.

Type
MISCELLANEA
Information
Econometric Theory , Volume 36 , Issue 6 , December 2020 , pp. 1159 - 1166
Copyright
© Cambridge University Press 2019

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

Comments by Peter Phillips and an anonymous referee on an earlier version of this article were much appreciated. Financial support of the European Research Council through grant no. 715787 (MiMo) is gratefully acknowledged.

References

REFERENCES

Ahn, S.C. & Schmidt, P. (1995) Efficient estimation of models for dynamic panel data. Journal of Econometrics 68, 5–27.CrossRefGoogle Scholar
Andrews, D.W.K. (1987) Asymptotic results for generalized Wald tests. Econometric Theory 3, 348–358.CrossRefGoogle Scholar
Baltagi, B.H. & Li, Q. (1995) Testing AR (1) against MA(1) disturbances in an error component model. Journal of Econometrics 68, 133–151.CrossRefGoogle Scholar
Baltagi, B.H. & Wu, P.X. (1999) Unequally spaced panel data regressions with AR(1) disturbances. Econometric Theory 15, 814–823.CrossRefGoogle Scholar
Dhaene, G. & Jochmans, K. (2016) Likelihood inference in an autoregression with fixed effects. Econometric Theory 32, 1178–1215.Google Scholar
Drukker, D.M. (2003) Testing for serial correlation in linear panel-data models. Stata Journal 3, 168–177.CrossRefGoogle Scholar
Inoue, A. & Solon, G. (2006) A portmanteau test for serially correlated errors in fixed effects models. Econometric Theory 22, 835–851.Google Scholar
Wooldridge, J.M. (2002) Econometric Analysis of Cross Section and Panel Data. MIT Press.Google Scholar