Abstract
A class of wavelet-based tests, for serial correlation of unknown form in panel models, is discussed. Wavelets are used for detecting serial correlation where the spectrum has peaks or kinks. The new tests have a convenient limit N(0,1) distribution, which is not affected by parameter estimation uncertainty. The tests are consistent against serial correlation of unknown form even in the presence of substantial inhomogeneity in serial correlation across individuals.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1519-1563 |
| Number of pages | 45 |
| Journal | Econometrica |
| Volume | 72 |
| Issue number | 5 |
| DOIs | |
| State | Published - Sep 2004 |
Keywords
- Error component
- Hypothesis testing
- Serial correlation of unknown form
- Spectral peak
- Static and dynamic panel models
- Unbalanced panel data
- Wavelet
ASJC Scopus subject areas
- Economics and Econometrics