Vis enkel innførsel

dc.contributor.authorLi, Yushu
dc.contributor.authorAndersson, Fredrik N.G.
dc.date.accessioned2014-05-14T07:17:55Z
dc.date.available2014-05-14T07:17:55Z
dc.date.issued2014-03
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/194975
dc.description.abstractHong 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.nb_NO
dc.language.isoengnb_NO
dc.publisherFORnb_NO
dc.relation.ispartofseriesDiscussion paper;11/14
dc.subjectenergy distributionnb_NO
dc.subjectMODWTnb_NO
dc.subjectserial correlationnb_NO
dc.subjectstatic and dynamic panel modelsnb_NO
dc.titleA simple wavelet-based test for serial correlation in panel data modelsnb_NO
dc.typeWorking papernb_NO


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel