Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/260095 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Working Paper No. 2013:39
Verlag: 
Lund University, School of Economics and Management, Department of Economics, Lund
Zusammenfassung: 
Hong and Kao (2004) proposed a panel data test for serial correlation of unknown form. However, their test is computationally difficult to implement, and simulation studies show the test to have bad small-sample properties. We extend Gencay's (2011) time series test for serial correlation to the panel data case in the framework proposed by Hong and Kao (2004). Our new test maintains the advantages of the Hong and Kao (2004) test, and it is simpler and easier to implement. Furthermore, simulation results show that our test has quicker convergence and hence better small-sample properties.
Schlagwörter: 
energy distribution
MODWT
serial correlation
static and dynamic panel models
JEL: 
C11
C12
C15
Dokumentart: 
Working Paper

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