Testing slope homogeneity in large panels with serial correlation

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.

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Year of publication:	2013
Authors:	Blomquist, Johan ; Westerlund, Joakim
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 3, p. 374-378
Publisher:	Elsevier
Subject:	Homogeneity \| Panel data \| Serial correlation \| Heteroskedasticity

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Type of publication:	Article
Classification:	C32 - Time-Series Models ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010729461