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

Onatski, A. and Wang, C. Spurious Factor Analysis Econometrica [2021]

Carvalho, V. M., Nirei, M., Saito, Y. U. and Tahbaz-Salehi, A. Supply Chain Disruptions: Evidence from the Great East Japan Earthquake Quarterly Journal of Economics [2021]

Cavalcanti, T. and Santos, M. (Mis)Allocation Effects of an Overpaid Public Sector Journal of the European Economic Association [2020]

Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H. Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data Journal of Econometrics [2020]