Blomquist, Johan
- Department of Economics, Swedish University of Agricultural Sciences
Research article2013Peer reviewed
Testing slope homogeneity in large panels with serial correlation
Blomquist, Johan; Westerlund, Joakim
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
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