A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS

By A. Inoue, Gary Solon. Econometric Theory, 2005

51 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/a124f44f04fbd27bcefce1e519b52b7c70440288

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In Economics and Econometrics

1. Liangjun Su
2. Xun Lu
3. J. Breitung
4. Benjamin Born
5. Peter C. B. Phillips
6. Yiguo Sun
7. Morten Ørregaard Nielsen
8. Xia Wang

In Statistics and Probability

1. Xun Lu
2. J. Breitung
3. Liangjun Su
4. Benjamin Born
5. Halbert White
6. Tzee-Ming Huang
7. Harro Walk
8. László Györfi

Citations in the corpus

• Testing for Serial Correlation in Fixed-Effects Panel Data Models (2016, methodology): “Inoue and Solon (2006) suggest to construct a test statistic based on the first p autocorrelations by forming the lower-dimensional vector s̃i(p) = {s̃ i }1≤t−s≤p with elements”
• Nonparametric dynamic panel data models: Kernel estimation and specification testing (2013, methodology): “…various specification tests for parametric panel data models in the literature; see Hausman (1978), Hausman and Taylor (1981), Arellano (1990), Arellano and Bond (1991), Li and Stengos (1992), Metcalf (1996), Baltagi (1999), Fu, Li and Fung (2002), Inoue and Solon (2006), Okui (2009), among others.”