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Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models

✍ Scribed by Yongmiao Hong; Chihwa Kao

Book ID
111052402
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
404 KB
Volume
72
Category
Article
ISSN
0012-9682

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✍ Pierre Duchesne; Roch Roy πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 335 KB

Multivariate autoregressive models with exogenous variables (VARX) are often used in econometric applications. Many properties of the basic statistics for this class of models rely on the assumption of independent errors. Using results of Hong (Econometrica 64 (1996) 837), we propose a new test stat