Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/260095
Year of Publication: 
2013
Series/Report no.: 
Working Paper No. 2013:39
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
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.
Subjects: 
energy distribution
MODWT
serial correlation
static and dynamic panel models
JEL: 
C11
C12
C15
Document Type: 
Working Paper

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