期刊
ECONOMICS LETTERS
卷 121, 期 3, 页码 374-378出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2013.09.012
关键词
Homogeneity; Panel data; Serial correlation; Heteroskedasticity
类别
Pesaran and Yamagata (Pesaran, M.H., Yamagata, T., Testing slope homogeneity in large panels, Journal of Econometrics 142, 50-93, 2008) 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. (C) 2013 Elsevier B.V. All rights reserved.
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