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Hecq, Alain
Palm, Franz
Urbain, Jean-Pierre
Year of Publication: 
Series/Report no.: 
CESifo Working Paper 248
In this paper we extend the concept of serial correlation common features to panel data models. This analysis is motivated both by the need to develop a methodology to systematically stu dy and test for common structures and comovements in panel data with autocorrelation present and by an increase in efficiency coming from pooling procedures. We propose sequential testing procedures and study their properties in a small scale Monte Carlo analysis. Finally, we apply the framework to the well known permanent income hypothesis for 22 OECD countries, 1950-1992.
Panel data
serial correlation common features
permanent income
Document Type: 
Working Paper

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