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Size distortions of tests for heteroskedasticity, cross-selectional correlation and autocorrelation in dinamic panel data models
(Centro de Investigación y Docencia Económicas, División de Economía, 1998)
This paper investigates the extent to which different error covariance structures can be identified in finite samples in a dynamic panel data context. Specifically, the size of several known tests for heteroskedasticity, ...