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Testing error serial correlation in fixed effects nonparametric panel data models
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DOI：10.1016/j.jeconom.2015.03.011.png)
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Abstract
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In this paper we consider the problem of testing serial correlation in fixed effects panel data model in a nonparametric framework. Using asymptotic results developed in Su and Lu (2013), we show that our test statistic has a standard normal distribution under the null hypothesis of zero serial correlation. The test statistic diverges to infinity at the rate of root N under the alternative hypothesis that error is serially correlated, where N is the cross sectional sample size. Simulations show that the proposed test works well in finite sample applications. (C) 2015 Elsevier B.V. All rights reserved.
Keywords:
Panel data model
Nonparametric
Test serial correlation
Fixed effects
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