Testing model adequacy for dynamic panel data with intercorrelation
具有相互相关性的动态面板模型适合性检验
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…