![]() Furthermore, a generalization to test for autocorrelation up to some given lag order and a test statistic that is robust against time dependent heteroskedasticity are proposed. Analyzing the local power of the tests, we find that the LM statistic has superior power properties. Under the null hypothesis of no serial correlation, all tests possess a standard normal limiting distribution as N tends to infinity and T is fixed. Journal of Econometrics 68(1), 133–151.View all references), and the third test is a modification of the classical Durbin-Watson statistic. Testing AR(1) against MA(1) Disturbances in an Error Component Model. The second test is based on the Lagrange Multiplier (LM) statistic suggested by Baltagi and Li (19953.īaltagi, B. Stata Journal 3(2), 168–177.View all references) is considered. Testing for Serial Correlation in Linear Panel-Data Models. ![]() Cambridge, MA: MIT Press.View all references) and Drukker (20037.ĭrukker, D. Econometric Analysis of Cross Section and Panel Data. First, a simplified version of the test suggested by Wooldridge (200211. In this paper we propose various tests for serial correlation in fixed-effects panel data regression models with a small number of time periods.
0 Comments
Leave a Reply. |