Wavelet-based testing for serial correlation of unknown form in panel models

Yongmiao Hong, Chihwa Kao

Research output: Contribution to journalArticlepeer-review

35 Scopus citations

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 languageEnglish (US)
Pages (from-to)1519-1563
Number of pages45
JournalEconometrica
Volume72
Issue number5
DOIs
StatePublished - 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

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