Li, Yushu; Andersson, Fredrik N. G. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2014
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...