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Applied Econometrics


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Serial Correlation

Topic Classifications Year Article Notes

    "Autocorrelation in Regression," International Encyclopedia of Statistical Science, Miodrag Lovric, editor, Springer, Heidelberg, 2011, Part  1, pp. 76-77.  
Panel Data, Heteroskedasticity, Specification Testing 2010 “Testing for Heteroskedasticity and Serial Correlation in a Random Effects Panel Data Model,” with Seuck Heun Song and Byoung Cheol Jung, Journal of Econometrics, Vol. 154 (February, 2010), pp. 122-124. CPR # 111
Panel Data, Spatial Econometrics, Specification Testing 2007 “Testing for Serial Correlation, Spatial Autocorrelation and Random Effects Using Panel Data,”with Seuck Heun Song, Byoung Cheol Jung and Won Koh, Journal of Econometrics, Vol. 140 (September, 2007), pp. 5-51.  
Panel Data, Unbalanced Panels, Specification Testing 2002 “LM Tests for the Unbalanced Nested Panel Data Regression Model With Serially Correlated Errors,” with Seuck Heun Song and Byoung Cheol Jung, Annales d’Économie et de Statistique, Vol. 65 (January-March, 2002), pp. 219-268.  
Functional Form, Heteroskedasticity 2000 “Double-Length Regressions for the Box-Cox Difference Model with Heteroskedasticity or Autocorrelation,” with Dong Li, Economics Letters, Vol. 69 (October, 2000), pp. 9-14.  
Panel Data, Unbalanced Panels 1999 “Unequally Spaced Panel Data Regressions with AR(1) Disturbances,” with Ping X. Wu, Econometric Theory, Vol. 15 (December, 1999), pp. 814-823.  
Functional Form 1999 “Double Length Regressions for Linear and Log-Linear Regressions With AR(1) Disturbances,” Statistical Papers, Vol. 40 (April, 1999), pp. 199-209.  
Panel Data 1997 “Monte Carlo Results on Pure and Pretest Estimators of An Error Component Model With Autocorrelated Disturbances,” with Qi Li, Annales D'Économie et de Statistique, Vol. 48 (October-December, 1997), pp. 69-82.  
Panel Data 1995 “Testing AR(1) Against MA(1) Disturbances in an Error Component Model,” with Qi Li, Journal of Econometrics, Vol. 68 (July, 1995), pp. 133-151.  
Panel Data 1994 “Estimating Error Component Models With General MA(q) Disturbances,”with Qi Li, Econometric Theory, Vol. 10 (June, 1994), pp. 396-408.  
  1994 “A Simple Recursive Estimation Method for Regression Models with AR(p) Disturbances,” with Qi Li, Statistical Papers, Vol.35 (May, 1994), pp. 93-100.  
Panel Data, Functional Form 1992 “Prediction in a One-Way Error Component Model with Serial Correlation,” with Qi Li, Journal of Forecasting, Vol. 11 (September, 1992), pp. 561-567.  
Panel Data 1992 “Monte Carlo Evidence on Panel Data Regressions With AR(1) Disturbances and an Arbitrary Variance on the Initial Observations,” with Young-Jae Chang and Qi Li, Journal of Econometrics, Vol. 52 (June, 1992), pp. 371-380.  
Panel Data 1991 “A Transformation That Will Circumvent The Problem of Autocorrelation in an Error Component Model,” with Qi Li, Journal of Econometrics, Vol. 48 (June, 1991), pp. 385-393.  
Panel Data, Specification Testing 1991 “A Joint Test for Serial Correlation and Random Individual Effects,” with Qi Li, Statistics and Probability Letters, Vol. 11 (March, 1991), pp. 277-280.  

Updated: February 2011