Testing serial correlation in semiparametric panel data models Academic Article uri icon


  • We propose three test statistics for testing serial correlation in a semiparametric partially linear panel data model that could allow lagged dependent variables as explanatory variables. The first is for testing zero first-order serial correlation, the second for testing higher-order serial correlations and the third testing for individual effects. The test statistics are shown to have asymptotic normal or chi-square distributions under the null hypothesis of a martingale difference error process. We conduct some Monte Carlo experiments to examine the finite sample performances of the proposed tests. We also discuss the generalization to testing serial correlation in a nonparametric framework. 1998 Elsevier Science S.A. All rights reserved.

published proceedings

  • Journal of Econometrics

author list (cited authors)

  • Li, Q., & Hsiao, C.

citation count

  • 44

complete list of authors

  • Li, Q||Hsiao, C

publication date

  • January 1998