Testing model adequacy for dynamic panel data with intercorrelation

Bo FU, Wai Keung LI, Wing-Kam FUNG

Research output: Contribution to journalArticles

5 Citations (Scopus)

Abstract

We give several definitions of residual autocorrelations and derive their joint asymptotic distribution for the panel time series model of Hjellvik & Tjøstheim (1999a). A portmanteau goodness‐of‐fit test arises naturally from the asymptotic distribution. Simulation results show that the asymptotic standard errors compared satisfactorily with the empirical standard errors, that the goodness‐of‐fit test has reasonable empirical size, and that it is powerful enough to be useful with a modest sample size. The results of this paper are illustrated with a real‐data example. Copyright © 2002 Biometrika Trust.
Original languageEnglish
Pages (from-to)591-602
JournalBiometrika
Volume89
Issue number3
DOIs
Publication statusPublished - Aug 2002

Citation

Fu, B., Li, W.-K., & Fung, W.-K. (2002). Testing model adequacy for dynamic panel data with intercorrelation. Biometrika, 89(3), 591-602. doi: 10.1093/biomet/89.3.591

Keywords

  • Dynamic model
  • Intercorrelated
  • Panel data
  • Portmanteau test
  • Residual autocorrelation

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