Working Papers, Department of Economics, Lund University
A Simple Wavelet-Based Test for Serial Correlation in Panel Data Models
() and Fredrik N. G. Andersson
Abstract: Hong and Kao (2004) proposed a panel data test for serial
correlation of unknown form. However, their test is computationally
difficult to implement, and simulation studies show the test to have bad
small-sample properties. We extend Gencay’s (2011) time series test for
serial correlation to the panel data case in the framework proposed by Hong
and Kao (2004). Our new test maintains the advantages of the Hong and Kao
(2004) test, and it is simpler and easier to implement. Furthermore,
simulation results show that our test has quicker convergence and hence
better small-sample properties.
Keywords: energy distribution; MODWT; serial correlation; static and dynamic panel models; (follow links to similar papers)
JEL-Codes: C11; C12; C15; (follow links to similar papers)
13 pages, November 28, 2013
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