Testing for heteroskedasticity in two-way fixed effects panel data models

Feng, SY; Li, GR; Tong, TJ; Luo, SH

Li, GR (corresponding author), Beijing Normal Univ, Sch Stat, Beijing 100875, Peoples R China.

JOURNAL OF APPLIED STATISTICS, 2020; 47 (1): 91

Abstract

In this paper, we propose a new method for testing heteroskedasticity in two-way fixed effects panel data models under two important scenarios where t......

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