Testing for serial correlation in hierarchical linear models

This paper proposes a simple hierarchical model and a testing strategy to identify intra-cluster correlations, in the form of nested random effects and serially correlated error components. We focus on intra-cluster serial correlation at different nested levels, a topic that has not been studied in...

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Detalles Bibliográficos
Autores principales: Alejo, Javier, Montes Rojas, Gabriel Victorio, Sosa Escudero, Walter
Formato: Articulo Preprint
Lenguaje:Inglés
Publicado: 2018
Materias:
Ciencias Económicas
Clusters
Random effects
Serial correlation
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/101815
https://ri.conicet.gov.ar/11336/87244
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-101815
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
Clusters
Random effects
Serial correlation
spellingShingle Ciencias Económicas
Clusters
Random effects
Serial correlation
Alejo, Javier
Montes Rojas, Gabriel Victorio
Sosa Escudero, Walter
Testing for serial correlation in hierarchical linear models
topic_facet Ciencias Económicas
Clusters
Random effects
Serial correlation
description This paper proposes a simple hierarchical model and a testing strategy to identify intra-cluster correlations, in the form of nested random effects and serially correlated error components. We focus on intra-cluster serial correlation at different nested levels, a topic that has not been studied in the literature before. A Neyman's C(α) framework is used to derive LM-type tests that allow researchers to identify the appropriate level of clustering as well as the type of intra-group correlation. An extensive Monte Carlo exercise shows that the proposed tests perform well in finite samples and under non-Gaussian distributions.
format Articulo
Preprint
author Alejo, Javier
Montes Rojas, Gabriel Victorio
Sosa Escudero, Walter
author_facet Alejo, Javier
Montes Rojas, Gabriel Victorio
Sosa Escudero, Walter
author_sort Alejo, Javier
title Testing for serial correlation in hierarchical linear models
title_short Testing for serial correlation in hierarchical linear models
title_full Testing for serial correlation in hierarchical linear models
title_fullStr Testing for serial correlation in hierarchical linear models
title_full_unstemmed Testing for serial correlation in hierarchical linear models
title_sort testing for serial correlation in hierarchical linear models
publishDate 2018
url http://sedici.unlp.edu.ar/handle/10915/101815
https://ri.conicet.gov.ar/11336/87244
work_keys_str_mv AT alejojavier testingforserialcorrelationinhierarchicallinearmodels
AT montesrojasgabrielvictorio testingforserialcorrelationinhierarchicallinearmodels
AT sosaescuderowalter testingforserialcorrelationinhierarchicallinearmodels
bdutipo_str Repositorios
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