skip to content

Faculty of Economics

Journal Cover

Jochmans, K.

A Portmanteau Test for Serial Correlation in Short Panels

Econometric Theory, forthcoming


Abstract: Inoue and Solon (2006, Econometric Theory 22, 835–851) presented a test against serial correlation of arbitrary form in fixed-effect models for short panel data. Implementing the test requires choosing a regularization parameter that may severely affect power and for which no optimal selection rule is available. We present a modified version of their test that does not require any regularization parameter. Asymptotic power calculations illustrate the improvement of our procedure. An extension of the approach that accommodates dynamic models is also provided.

Author links: Koen Jochmans  

Publisher's Link:

Cambridge Working Paper in Economics Version of Paper: A Portmanteau Test for Correlation in Short Panels, Jochmans, K., (2018)

Papers and Publications

Recent Publications

Carvalho, V. M. and Grassi, B. Large Firm Dynamics and the Business Cycle American Economic Review [2019]

Onatski, A. and Wang, C. Spurious Factor Analysis Econometrica, forthcoming [2020]

Acconcia, A., Corsetti, G. and Simonelli, S. Liquidity and Consumption: Evidence from Three Post-earthquake Reconstruction Programs in Italy American Economic Journal: Macroeconomics [2020]

Biroli, P., Boneva, T., Raja, A. and Rauh, C. Parental Beliefs About Returns to Child Health Investments Journal of Econometrics [2020]