Testing model adequacy for dynamic panel data with intercorrelation

• 成果类型: Article
• 署名作者: Fu, B; Li, WK; Fung, WK
• 署名单位: University of Hong Kong
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/89.3.591
• 发表日期: 2002
• 页码: 591601
• 关键词: residual autocorrelations

摘要

We give several definitions of residual autocorrelations and derive their joint asymptotic distribution for the panel time series model of Hjellvik & Tjostheim (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.