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Testing for heteroskedasticity and serial correlation in a random effects panel data model

Baltagi, Badi H.; Jung, Byoung Cheol; Song, Seuck Heun - In: Journal of Econometrics 154 (2010) 2, pp. 122-124

This paper considers a panel data regression model with heteroskedastic as well as serially correlated disturbances, and derives a joint LMÂ test for homoskedasticity and no first order serial correlation. The restricted model is the standard random individual error component model. It also...

Persistent link: https://www.econbiz.de/10008493170

LM tests for the unbalanced nested panel data regression model with serially correlated errors

Baltagi, Badi H.; Song, Seuck-heun; Jung, Byoung Cheol - In: Annales d'économie et de statistique (2002), pp. 219-268

Persistent link: https://www.econbiz.de/10001673363

Simple LM tests for the unbalanced nested error component regression model

Baltagi, Badi H.; Song, Seuck-heun; Jung, Byoung Cheol - In: Econometric reviews 21 (2002) 2, pp. 167-187

Persistent link: https://www.econbiz.de/10001704762

The unbalanced nested error component regression model

Baltagi, Badi H.; Song, Seuck-heun; Jung, Byoung Cheol - In: Journal of econometrics 101 (2001) 2, pp. 357-381

Persistent link: https://www.econbiz.de/10001554913

Testing for heteroskedasticity and serial correlation in a random effects panel data model

Baltagi, Badi H.; Jung, Byoung Cheol; Song, Seuck-heun - In: Journal of econometrics 154 (2010) 2, pp. 122-124

Persistent link: https://www.econbiz.de/10003940084

Testing for serial correlation, spatial autocorrelation and random effects using panel data

Baltagi, Badi H.; Song, Seuck-heun; Jung, Byoung Cheol; … - In: Journal of econometrics 140 (2007) 1, pp. 5-51

Persistent link: https://www.econbiz.de/10003559936

Adaptive estimation of the dynamics of a discrete time stochastic volatility model

Baltagi, Badi H.; Jung, Byoung Cheol; Song, Seuck Heun - In: Journal of econometrics 154 (2010) 1, pp. 59-74

Persistent link: https://www.econbiz.de/10008350272

Testing for heteroskedasticity and serial correlation in a random effects panel data model

Baltagi, Badi H.; Jung, Byoung Cheol; Song, Seuck Heun - In: Journal of econometrics 154 (2010) 2, pp. 122-125

Persistent link: https://www.econbiz.de/10008881848

LM Tests for the Unbalanced Nested Panel Data Regression Model with Serially Correlated Errors

Baltagi, Badi H.; Song, Seuck Heun; Jung, Byoung Cheol - In: Annales d'économie et de statistique (2002) 65, pp. 219

Persistent link: https://www.econbiz.de/10007967575