Hello everyone,
I have the following question related to testing residuals for serial correlation after using the Common Correlated Effects estimator of Pesaran (2006).
In particular, suppose we estimate using the pooled version of the estimator - what would be the appropriate procedure for testing for serial correlation?
In a paper by Eberhardt et al. (Review of Economics and Statistics, 2013) the authors use the Arellano and Bond (1991) test (using the abar command). However, Millo (Journal of Applied Econometrics. 2018) in his replication of the paper argues for using the approach outlined in Wooldridge (2010)
Any ideas?
Related Posts with Common Correlated Effects and Serial Correlation
Help with using expand>2 while replacing values in duplicates generatedHi, I am trying to use the expand command to create duplicates and replacing one of the variables i…
A question on macro expression.If we want to write i = i + 1, we could use ++i. I wonder if there is also a short expression for i…
Marginal effects Tobit (mfx vs margins)Hello I'm trying to calculate the marginal effects of a Tobit model using the margins command instea…
Individual Caliper for Variables Nearest-Neighbour Matching (psmatch2)Dear Community, I aim to apply nearest neighbour matching using the mahalanobis option in the the p…
Adding an interaction term into a model or stratifying data , which method is more preferable to analyse interaction terms?Hi Statlists, Hope this post finds you well. May I know why stratification seems to be less prefera…
Subscribe to:
Post Comments (Atom)
0 Response to Common Correlated Effects and Serial Correlation
Post a Comment