Testing slope homogeneity in large panels with serial correlation. (English) Zbl 1288.62122
Summary: M. H. Pesaran and T. Yamagata [“Testing slope homogeneity in large panels”, J. Econom. 142, No. 1, 50–93 (2008; doi:10.1016/j.jeconom.2007.05.010)] 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.
MSC:
| 62M07 | Non-Markovian processes: hypothesis testing |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
References:
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