A finite sample correction for the panel Durbin–Watson test

Autor:	Hyoungjong Kim
Rok vydání:	2021
Předmět:	Economics and Econometrics Heteroscedasticity 050208 finance Series (mathematics) Durbin–Watson statistic 0502 economics and business 05 social sciences Statistics Autocorrelation Economics Sample (statistics) 050207 economics
Zdroj:	Applied Economics. 54:3197-3205
ISSN:	1466-4283 0003-6846
DOI:	10.1080/00036846.2020.1869172
Popis:	This study shows that the panel Durbin–Watson d test is incapable of distinguishing temporal heteroskedasticity and serial correlation with short time series. The study proposes a new finite sample...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5a21afaf21ad1820e2e769cb76c67b48 https://doi.org/10.1080/00036846.2020.1869172 Zobrazit plný text záznamu