Testing for Serial Correlation in Three-dimensional Panel Data Models

• Published in: Acta Mathematicae Applicatae Sinica 2017-02, Vol.33 (1), p.239-250
• Main Authors: Wu, Jian-hong, Ding, Qing, Qin, Jin-xu
• Format: Article
• Language: English
• Subjects: Applications of Mathematics; Computer simulation; Correlation analysis; Economic models; Longitudinal studies; Math Applications in Computer Science; Mathematical and Computational Physics; Mathematics; Mathematics and Statistics; Null hypothesis; Regression analysis; Theoretical; Three dimensional models; 三维; 中心差分; 假设检验; 数据模型; 模型估计; 蒙特卡洛模拟; 误差序列; 面板
• ISSN: 0168-9673; 1618-3932
• DOI: 10.1007/s10255-017-0654-5

This paper studies serial correlation testing for a general three-dimensional panel data model. As a step for hypothesis testing, the robust within estimation of parameter coefficients is investigated, and shown to asymptotically consistent and normal under some mild conditions. A residual-based statistic is then constructed to test for serial correlation in the idiosyncratic errors, which is based on the parameter estimates for an artificial autoregression modeled by centering and differencing residuals. The test can be shown to asymptotically chisquare distributed under the null hypothesis. Power study shows that the test can detect local alternatives distinct at the parametric rate from the null hypothesis. The test needs no distribution assumptions of the error components, and is robust to the misspecification of various specific effects. Monte Carlo simulations are carried out for illustration.