Testing slope homogeneity in large panels with serial correlation

Abstract

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.

Keywords

Homogeneity; Panel data; Serial correlation; Heteroskedasticity

Published in

Economics Letters
2013, volume: 121, number: 3, pages: 374-378
Publisher: ELSEVIER SCIENCE SA

SLU Authors

• Blomquist, Johan

  • Department of Economics, Swedish University of Agricultural Sciences
    

UKÄ Subject classification

Economics

Publication identifier

• DOI: https://doi.org/10.1016/j.econlet.2013.09.012

Permanent link to this page (URI)

https://res.slu.se/id/publ/55925