Testing model adequacy for dynamic panel data with intercorrelation


    loading  Checking for direct PDF access through Ovid

Abstract

SUMMARYWe give several definitions of residual autocorrelations and derive their joint asymptotic distribution for the panel time series model of Hjellvik & Tjøstheim (1999a). A portmanteau goodness-of-fit test arises naturally from the asymptotic distribution. Simulation results show that the asymptotic standard errors compared satisfactorily with the empirical standard errors, that the goodness-of-fit test has reasonable empirical size, and that it is powerful enough to be useful with a modest sample size. The results of this paper are illustrated with a real-data example.

    loading  Loading Related Articles