Scandinavian Working Papers in Economics
Working Papers,
Lund University, Department of Economics
No 2013:39: A Simple Wavelet-Based Test for Serial Correlation in Panel Data Models
Yushu Li () and Fredrik N. G. Andersson ()
Additional contact information
Yushu Li: Department of Business and Management Science, Norwegian School of Economics
Fredrik N. G. Andersson: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden
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
13 pages, November 28, 2013
Full text files
WP13_39.pdf
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