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Article: Testing model adequacy for dynamic panel data with intercorrelation

TitleTesting model adequacy for dynamic panel data with intercorrelation
Authors
Fu, BLi, WKFung, WK
KeywordsDynamic model
Intercorrelated
Panel data
Portmanteau test
Residual autocorrelation
Issue Date2002
PublisherOxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/
Citation
Biometrika, 2002, v. 89 n. 3, p. 591-601 How to Cite?
DOI: http://dx.doi.org/10.1093/biomet/89.3.591
AbstractWe 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. © 2002 Biometrika Trust.
Persistent Identifierhttp://hdl.handle.net/10722/82641
ISSN
0006-3444
2021 Impact Factor: 3.028
2020 SCImago Journal Rankings: 3.307
ISI Accession Number ID
WOS:000178151800008
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorFu, Ben_HK
dc.contributor.authorLi, WKen_HK
dc.contributor.authorFung, WKen_HK
dc.date.accessioned2010-09-06T08:31:43Z-
dc.date.available2010-09-06T08:31:43Z-
dc.date.issued2002en_HK
dc.identifier.citationBiometrika, 2002, v. 89 n. 3, p. 591-601en_HK
dc.identifier.issn0006-3444en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82641-
dc.description.abstractWe 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. © 2002 Biometrika Trust.en_HK
dc.languageengen_HK
dc.publisherOxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/en_HK
dc.relation.ispartofBiometrikaen_HK
dc.rightsBiometrika. Copyright © Oxford University Press.en_HK
dc.subjectDynamic modelen_HK
dc.subjectIntercorrelateden_HK
dc.subjectPanel dataen_HK
dc.subjectPortmanteau testen_HK
dc.subjectResidual autocorrelationen_HK
dc.titleTesting model adequacy for dynamic panel data with intercorrelationen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0006-3444&volume=89&issue=3&spage=591&epage=601&date=2002&atitle=Testing+model+adequacy+for+dynamic+panel+data+with+intercorrelationen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.emailFung, WK: wingfung@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.identifier.authorityFung, WK=rp00696en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1093/biomet/89.3.591en_HK
dc.identifier.scopuseid_2-s2.0-24944573161en_HK
dc.identifier.hkuros74963en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-24944573161&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume89en_HK
dc.identifier.issue3en_HK
dc.identifier.spage591en_HK
dc.identifier.epage601en_HK
dc.identifier.isiWOS:000178151800008-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridFu, B=35957954300en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridFung, WK=13310399400en_HK
dc.identifier.issnl0006-3444-

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