Search Results

Testing for serial correlation in fixed-effects panel models,
Jesse Wursten, in Stata Journal (2018)
Keywords: xtqptest, xthrtest, xtistest, serial correlation, panel time series, fixed effects, higher-order serial correlation

Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation,
Badi Baltagi, Chihwa Kao and Peng Bin, in Econometrics (2016)
Keywords: cross-sectional correlation test; serial correlation; large panel data model

The asymptotic covariance matrix of the multivariate serial correlations,
Georgi N. Boshnakov, in Stochastic Processes and their Applications (1996)
Keywords: Asymptotic distribution Multivariate ARMA Serial covariances Serial correlations Bartlett's formula Tensor convolution

An Ad Hoc Procedure for Testing Serial Correlation in Spatial Fixed-Effects Panels,
Giovanni Millo, in Mathematics (2024)
Keywords: serial correlation; spatial panel; fixed effects; test

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation,
Jimmy Skoglund and Sune Karlsson, from Stockholm School of Economics (2001)
Keywords: Panel data; serial correlation; random effects

Specification and estimation of random effects models with serial correlation of general form,
Jimmy Skoglund and Sune Karlsson, from Stockholm School of Economics (2001)
Keywords: Panel data; serial correlation; random effects

Understanding the processes of firm Growth - a closer look at serial growth rate correlation,
Alex Coad, from Université Panthéon-Sorbonne (Paris 1) (2006)
Keywords: Serial correlation; firm growth; quantile regression

XTSERIALPM: Stata module to perform a portmanteau test for serial correlation in panel data,
Koen Jochmans and Vincenzo Verardi, from Boston College Department of Economics (2019)
Keywords: panel data, portmanteau test, serial correlation

The New Keynesian Phillips Curve of rational expectations: A serial correlation extension,
Chengsi Zhang and Joel Clovis, in Journal of Applied Economics (2010)
Keywords: NKPC, GMM, serial correlation, monetary policy

A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions,
David Belsley, from Boston College Department of Economics (1996)
Keywords: Serial correlation, hypothesis testing, size correction

Fitting a Serial Correlation Pattern to Repeated Observations,
Lynne K. Edwards, in Journal of Educational and Behavioral Statistics (1991)
Keywords: repeated measures; longitudinal studies; serial correlation; Markov simplex

Testing for serial correlation in the presence of dynamic heteroscedasticity,
Param Silvapulle and Merran Evans, in Econometric Reviews (1998)
Keywords: serial correlations tests, ARCH-correlated tests, ARMA-ARCH models,

A joint test for serial correlation and random individual effects,
Badi Baltagi and Qi Li, in Statistics & Probability Letters (1991)
Keywords: Lagrange multiplier test error components Breusch-Pagan test serial correlation

The Hausman–Taylor panel data model with serial correlation,
Badi Baltagi and Long Liu, in Statistics & Probability Letters (2012)
Keywords: Panel data; Fixed effects; Random effects; Instrumental variables; Serial correlation;

The Hausman-Taylor Panel Data Model with Serial Correlation,
Badi Baltagi and Long Liu, from Center for Policy Research, Maxwell School, Syracuse University (2012)
Keywords: Panel Data, Fixed Effects, Random Effects, Instrumental Variables, Serial Correlation

Multi-scale tests for serial correlation,
Ramazan Gencay and Daniele Signori, in Journal of Econometrics (2015)
Keywords: Serial correlation; Wavelets; Independence; Discrete wavelet transformation; Maximum overlap wavelet transformation; Variance ratio test; Variance decomposition;

A simple randomization test for spatial correlation in the presence of common factors and serial correlation,
Giovanni Millo, in Regional Science and Urban Economics (2017)
Keywords: Panel data; Common factors; Spatial dependence; Serial correlation; Randomization test;

Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators,
Ryo Okui, in Mathematics and Computers in Simulation (MATCOM) (2009)
Keywords: Panel data; Testing serial-correlation; Double asymptotics;

Trading volume and serial correlation in crude oil futures returns,
Hua Wang and Weige Huang, in International Journal of Financial Engineering (IJFE) (2021)
Keywords: Crude oil futures, serial correlation, trading volume, high frequency data

Common serial correlation and common business cycles: A cautious note,
Gianluca Cubadda, in Empirical Economics (1999)
Keywords: Business cycles · serial correlation common feature · frequency-domain methods

Testing error serial correlation in fixed effects nonparametric panel data models,
Carl Green, Wei Long and Cheng Hsiao, in Journal of Econometrics (2015)
Keywords: Panel data model; Nonparametric; Test serial correlation; Fixed effects;

Temporal variations of serial correlations of trading volume in the US stock market,
José Alvarez-Ramírez and Eduardo Rodríguez, in Physica A: Statistical Mechanics and its Applications (2012)
Keywords: Stock market; Trading volume; Serial correlations; Business cycles;

A simple wavelet-based test for serial correlation in panel data models,
Yushu Li and Fredrik Andersson, in Empirical Economics (2021)
Keywords: Energy distribution, MODWT, Serial correlation, Static and dynamic panel models

An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns,
Mila Getmansky, Andrew Lo and Igor Makarov, from Massachusetts Institute of Technology (MIT), Sloan School of Management (2003)
Keywords: Hedge Funds, Serial Correlation, Market Efficiency, Performance Smoothing, Liquidity,

More Efficient Estimation of Multiplicative Panel Data Models in the Presence of Serial Correlation,
Nicholas Brown and Jeffrey Wooldridge, from Economics Department, Queen's University (2023)
Keywords: fixed effects Poisson, serial correlation, optimal instruments, generalized method of moments

A Simple Wavelet-Based Test for Serial Correlation in Panel Data Models,
Yushu Li and Fredrik Andersson, from Lund University, Department of Economics (2013)
Keywords: energy distribution; MODWT; serial correlation; static and dynamic panel models

A simple wavelet-based test for serial correlation in panel data models,
Yushu Li and Fredrik Andersson, from Norwegian School of Economics, Department of Business and Management Science (2014)
Keywords: Energy Distribution; MODWT; Serial correlation; Static and dynamic panel models

Minimax on the gridiron: Serial correlation and its effects on outcomes in the National Football League,
Noha Emara, David Owens, John Smith and Lisa Wilmer, from University Library of Munich, Germany (2014)
Keywords: serial correlation, game theory, mixed strategies, matching pennies

Serial correlation in National Football League play calling and its effects on outcomes,
Noha Emara, David Owens, John Smith and Lisa Wilmer, from University Library of Munich, Germany (2014)
Keywords: serial correlation, game theory, mixed strategies, matching pennies

Serial correlation in National Football League play calling and its effects on outcomes,
Noha Emara, David Owens, John Smith and Lisa Wilmer, in Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics) (2017)
Keywords: Serial correlation; Game theory; Mixed strategies; Matching pennies;

XTISTEST: Stata module to perform Portmanteau test for panel serial correlation,
Jesse Wursten, from Boston College Department of Economics (2022)
Keywords: serial correlation, panel, fixed effects, residual autocorrelation test, portmanteau

Modeling Discrete Choices in the Presence of Inertia and Serial Correlation,
Victor Cantillo, Juan de Dios Ortúzar and Huw C. W. L. Williams, in Transportation Science (2007)
Keywords: discrete choice models, thresholds, inertia, serial correlation, panel data, mixed and revealed preference data

A Closer Look at Serial Growth Rate Correlation,
Alex Coad, in Review of Industrial Organization (2007)
Keywords: Serial correlation, Firm growth, Quantile regression, French manufacturing, Fast-growth firms, L11, L25,

Double serial correlation for multilevel growth curve models,
Dickson Anumendem, Geert Verbeke, Bieke De Fraine, Patrick Onghena and Jan Van Damme, in Quality & Quantity: International Journal of Methodology (2013)
Keywords: Multilevel growth curve model, Double serial correlation, Student growth, School effects,

A Closer Look at Serial Growth Rate Correlation,
Alex Coad, from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2006)
Keywords: Serial correlation, firm growth, quantile regression, French manufacturing, fast-growth firms

A portmanteau test for serial correlation in a linear panel model,
Koen Jochmans and Vincenzo Verardi, in Stata Journal (2020)
Keywords: xtserialpm, heteroskedasticity, fixed-effects model, portmanteau test, serial correlation, short panel data, unbalanced panel

Tests for Serial Independence and Linearity based on Correlation Integrals,
Cees Diks and Sebastiano Manzan, from Tinbergen Institute (2001)
Keywords: serial independence; linearity; bootstrap; permutation test; nonparametric estimation; nonlinear time series analysis; correlation integral

Feasible generalized least squares for panel data with cross-sectional and serial correlations,
Jushan Bai, Sung Hoon Choi and Yuan Liao, in Empirical Economics (2021)
Keywords: Panel data, Efficiency, Thresholding, Banding, Cross-sectional correlation, Serial correlation, Heteroskedasticity

Predication in a Generalized Spatial Panel Data Model with Serial Correlation,
Badi Baltagi and Long Liu, from Center for Policy Research, Maxwell School, Syracuse University (2016)
Keywords: Prediction; Panel Data; Fixed Effects; Random Effects; Serial Correlation; Spatial Error Correlation

Connection between uniform and serial correlation structure in the growth curve model,
Rastislav Rusnačko and Ivan Žežula, in Metrika: International Journal for Theoretical and Applied Statistics (2016)
Keywords: Growth curve model, Uniform correlation structure, Serial correlation structure, Variance parameters, Maximum likelihood estimators, Toeplitz matrix, 15A63, 62H12, 62P99,

A joint test for serial correlation and heteroscedasticity in fixed-T panel regression models with interactive effects,
Jianhong Wu, in Economics Letters (2020)
Keywords: CCE method; Heteroscedasticity; Interactive effects; Panel data; Serial correlation;

Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data,
Nikolas Gerlich and Stefan Rostek, in Physica A: Statistical Mechanics and its Applications (2015)
Keywords: Serial correlation; Self-similarity; Portfolio diversification; Multifractionality; Volatility clustering;

XTHRTEST: Stata module to perform Born & Breitung Bias-corrected HR-test for first order panel serial correlation,
Jesse Wursten, from Boston College Department of Economics (2018)
Keywords: serial correlation, panel, fixed effects, residual autocorrelation test

XTQPTEST: Stata module to perform Born & Breitung Bias-corrected LM-based test for serial correlation,
Jesse Wursten, from Boston College Department of Economics (2018)
Keywords: serial correlation, panel, fixed effects, residual autocorrelation test

Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's,
Peter Phillips and R.C. Reiss, from Cowles Foundation for Research in Economics, Yale University (1984)
Keywords: Rational approximation, serial correlation, computer function routines, critical values

Second-order risk comparison of SLSE with GLSE and MLE in a regression with serial correlation,
Yasuyuki Toyooka, in Journal of Multivariate Analysis (1985)
Keywords: Autoregressive process estimated residual GLSE MLE regression model with serial correlation second-order expansion SLSE

Understanding the processes of firm growth - a closer look at serial growth rate correlation,
Alex Coad, from HAL (2006)
Keywords: quantile regression,firm growth,Serial correlation,Autocorrélation,croissance des firmes,régression par quantile

Understanding the processes of firm growth - a closer look at serial growth rate correlation,
Alex Coad, from HAL (2006)
Keywords: quantile regression,firm growth,Serial correlation,Autocorrélation,croissance des firmes,régression par quantile

Tests for serial correlation of unknown form in dynamic least squares regression with wavelets,
Meiyu Li and Ramazan Gencay, in Economics Letters (2017)
Keywords: Dynamic least squares regression; Serial correlation; Conditional heteroscedasticity; Maximum overlap discrete wavelet transformation;

Testing for heteroskedasticity and serial correlation in a random effects panel data model,
Badi Baltagi, Byoung Cheol Jung and Seuck Heun Song, in Journal of Econometrics (2010)
Keywords: Panel data Heteroskedasticity Serial correlation Lagrange multiplier tests Likelihood ratio Random effects

Determinants and Costs of Current Account Reversals under Heterogeneity and Serial Correlation,
Christian Aßmann, from Christian-Albrechts-University of Kiel, Department of Economics (2007)
Keywords: Current account reversals, Bayesian Analysis, Panel Probit Model, Panel Treatment Model, Random Parameters, Serial Correlation

Testing for Heteroskedasticity and Serial Correlation in a Random Effects Panel Data Model,
Badi Baltagi, Byoung Cheol Jung and Seuck Heun Song, from Center for Policy Research, Maxwell School, Syracuse University (2008)
Keywords: Panel data; heteroskedasticity; serial correlation; Lagrange Multiplier tests; likelihood ratio; random effects

Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation,
Kajal Lahiri and Liu Yang, from CESifo (2015)
Keywords: probability forecasts, serial correlation, Brier score, Brier skill score, survey of professional forecasters

Asymptotic variance of Brier (skill) score in the presence of serial correlation,
Kajal Lahiri and Liu Yang, in Economics Letters (2016)
Keywords: Probability forecasts; Serial correlation; Brier score; Brier skill score; Survey of Professional Forecasters;

Consistent estimation of the asymptotic covariance structure of multivariate serial correlation,
Guy Melard, Marianne Paesmans and Roch Roy, from ULB -- Universite Libre de Bruxelles (1991)
Keywords: asymptotic covariance; consistent estimator; Multivariate time series; non‐negative definiteness; serial correlation

A joint serial correlation test for linear panel data models,
Takashi Yamagata, in Journal of Econometrics (2008)
Keywords: Method of moments Dynamic panel data Serial correlation test Slope heterogeneity Cross section dependence m2 test Overidentifying restrictions test

Testing for Serial Correlation in the of Dynamic Heteroscedasticity,
Param Silvapulle and M. Evans, from Monash University, Department of Econometrics and Business Statistics (1996)
Keywords: ECONOMIC MODELS;ECONOMETRICS;CORRELATION TESTS

Reprint of: Robust inference on correlation under general heterogeneity,
Liudas Giraitis, Yufei Li and Peter C.B. Phillips, in Journal of Econometrics (2024)
Keywords: Serial correlation; Cross-correlation; Heteroskedasticity; Martingale differences;

Robust inference on correlation under general heterogeneity,
Liudas Giraitis, Yufei Li and Peter Phillips, in Journal of Econometrics (2024)
Keywords: Serial correlation; Cross-correlation; Heteroskedasticity; Martingale differences;

Robust Tests for White Noise and Cross-Correlation,
Violetta Dalla, Liudas Giraitis and Peter Phillips, from Queen Mary University of London, School of Economics and Finance (2020)
Keywords: Serial correlation, cross-correlation, heteroskedasticity, martingale

Robust Tests for White Noise and Cross-Correlation,
Violetta Dalla, Liudas Giraitis and Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2020)
Keywords: Serial correlation, Cross-correlation, Heteroskedasticity, Martingale differences

Robust Tests for White Noise and Cross-Correlation,
Violetta Dalla, Liudas Giraitis and Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2019)
Keywords: Serial correlation, Cross-correlation, Heteroskedasticity, Martingale differences

On wavelet-based testing for serial correlation of unknown form using Fan’s adaptive Neyman method,
Linyuan Li, Shan Yao and Pierre Duchesne, in Computational Statistics & Data Analysis (2014)
Keywords: Adaptive Neyman test; Autocorrelations; Consistent testing; Serial correlation; Spectral density; Time series; Wavelet method;

Exchange rate as a shock absorber in Poland and Slovakia: Evidence from Bayesian SVAR models with common serial correlation,
Marek Dąbrowski and Justyna Wróblewska, in Economic Modelling (2016)
Keywords: Open economy macroeconomics; Real exchange rate; Shock absorption; Monetary integration; Bayesian structural VAR; Common serial correlation;

Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis,
Jing Yao and Yiwen Yang, in Economic Modelling (2023)
Keywords: Mean–variance relation; Serial correlation; Implicit government guarantees; Feedback trading; Idiosyncratic volatility; Risk-return tradeoff;

Testing for serial correlation and random effects in a two-way error component regression model,
Jianhong Wu and Lixing Zhu, in Economic Modelling (2011)
Keywords: Panel data; Random effect; Serial correlation; Two-way error component regression model;

Exchange rate as a shock absorber or a shock propagator in Poland and Slovakia - an approach based on Bayesian SVAR models with common serial correlation,
Marek Dąbrowski and Justyna Wróblewska, from University Library of Munich, Germany (2015)
Keywords: open economy macroeconomics; real exchange rate; monetary integration; Bayesian structural VAR; common serial correlation; financial shocks

Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity,
Klaus Grobys, in Empirical Economics (2015)
Keywords: Asymmetric heteroskedasticity, Serial correlation, Wild bootstrap, HCCME-based LM test, Simulation, C15, C32,

Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe,
Joanna Olbrys and Elżbieta Majewska, in Operations Research and Decisions (2014)
Keywords: CEE stock markets, market frictions, nonsynchronous trading, index serial correlation, market efficiency

xtserialpm: A portmanteau test for serial correlation in a linear panel model,
Koen Jochmans and Vincenzo Verardi, from Faculty of Economics, University of Cambridge (2019)
Keywords: xtserialpm, heteroskedasticity, fixed-effect model, portmanteau test, serial correlation, short panel data, unbalanced panelexponential regression, gravity model, panel data, two-way fixed effects

A Differencing Specification Test for Models with Serially Correlated Errors,
Paul Boothe and James MacKinnon, from Economics Department, Queen's University (1985)
Keywords: specification test, serial correlation, differencing test

Maximum likelihood estimation of spatially and serially correlated panels with random effects,
Giovanni Millo, in Computational Statistics & Data Analysis (2014)
Keywords: Spatial panel; Maximum likelihood; Serial correlation; R;

Significance test in nonstationary logit panel model with serially correlated dependent variable,
Chia-Shang J. Chu, Nan Liu and Lina Zhang, in Economics Letters (2017)
Keywords: Nonstationary panel logit; Serial correlation; Significance test;

Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities,
Shelton Peiris, in Statistical Papers (2014)
Keywords: Small samples, Serial correlation, Estimation, Repeated measurements, Panel data, Edgeworth expansion, Tail probability, Autoregression, Cumulants, Moments, Time series, Inference,

A Monte Carlo Evaluation of Some Common Panel Data Estimators when Serial Correlation and Cross-sectional Dependence are Both Present,
W. Reed and Haichun Ye, from University of Canterbury, Department of Economics and Finance (2007)
Keywords: Panel Data estimation; Monte Carlo analysis; FGLS; PCSE; Groupwise Heteroscedasticity; Serial Correlation; Cross-sectional Dependence; Stata; EViews

Testing for Serial Correlation, Spatial Autocorrelation and Random Effects,
Won Koh, Byoung Cheol Jung, Badi Baltagi and Seuck Heun Song, from Econometric Society (2004)
Keywords: panel data, spatial correlation

Testing for Serial Correlation, Spatial Autocorrelation and Random Effects,
Won Koh, Badi Baltagi and Seuck Heun Song, from Econometric Society (2004)
Keywords: panel data, spatial correlation

Quantifying the predictability of a predictand: demonstrating the diverse roles of serial dependence in the estimation of forecast skill,
Alexander Jarman and Leonard A. Smith, from London School of Economics and Political Science, LSE Library (2018)
Keywords: probabilistic forecasting; forecast skill; serial correlation

Estimating the Tobit Model with Serial Correlation: an Operational Approach,
M.G. Dagenais, from Universite de Montreal, Departement de sciences economiques (1986)
Keywords: Correlation Analysis ; Maximum Likelihood ; Estimation of Parameters

On the impact of serial dependence on penalized regression methods,
Simone Tonini, Francesca Chiaromonte and Alessandro Giovannelli, from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2022)
Keywords: Serial dependence; spurious correlation; minimum eigenvalue; penalized regressions; estimation accuracy.

Identifying Dynamic Games with Serially Correlated Unobservables,
Yingyao Hu and Matthew Shum, from Emerald Group Publishing Limited (2013)
Keywords: Dynamic games, identification, unobserved heterogeneity, serial correlation, L13, C73, C14

Serial and cross-correlation in the Spanish Stock Market returns,
Javier DePeña and Luis Gil-Alana, from School of Economics and Business Administration, University of Navarra (2003)
Keywords: Market efficiency; random walk; variance ratio; cross-correlation

The Output Process of Serial Production Lines of General Machines with Finite Buffers,
Kevin B. Hendricks and John O. McClain, in Management Science (1993)
Keywords: serial production lines, output processes, correlation structure, output variability

Testing Dependence among Serially Correlated Multi-Category Variables,
Mohammad Pesaran and Allan Timmermann, from Institute of Labor Economics (IZA) (2006)
Keywords: serial dependence, canonical correlations, contingency tables, tests of predictability

Testing Dependence among Serially Correlated Multi-category Variables,
Mohammad Pesaran and Allan Timmermann, from CESifo (2006)
Keywords: contingency tables, canonical correlations, serial dependence, tests of predictability

Testing Dependence Among Serially Correlated Multi-category Variables,
Mohammad Pesaran and Allan Timmermann, from Faculty of Economics, University of Cambridge (2006)
Keywords: Contingency Tables, Canonical Correlations, Serial Dependence, Tests of Predictability

A self-normalization test for correlation change,
Ji-Eun Choi and Dong Wan Shin, in Economics Letters (2020)
Keywords: Conditional heteroscedasticity; Correlation break; CUSUM test; Self-normalization; Serial dependence;

Equilibrium Correlation of Asset Price and Return,
Charles Leung, from Chinese University of Hong Kong, Department of Economics (2005)
Keywords: rational expectation, price and return, serial and cross correlation, market efficiency, predictability

A Portmanteau Test for Correlation in Short Panels,
Koen Jochmans, from Faculty of Economics, University of Cambridge (2018)
Keywords: fixed effects, panel data, statistical power, serial correlation, test

Equilibrium Correlation of Asset Price and Return,
Charles Leung, from Chinese University of Hong Kong, Department of Economics (2005)
Keywords: rational expectation, price and return, serial and cross correlation, market efficiency, predictability