A Portmanteau Test For Serially Correlated Errors In Fixed Effects Models
Abstract
We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties.The authors thank the co-editor, the referee, David Drukker, Christian Hansen, and Jeffrey Wooldridge for their helpful comments.Download Info
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.Bibliographic Info
Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 22 (2006)
Issue (Month): 05 (October)
Pages: 835-851
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:journals@cambridge.org
Related research
Keywords:Other versions of this item:
- Atsushi Inoue & Gary Solon, 2005. "A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models," NBER Technical Working Papers 0310, National Bureau of Economic Research, Inc.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
References
References listed on IDEASPlease report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John Donohue & Steven Levitt, 2000.
"The Impact of Legalized Abortion on Crime,"
NBER Working Papers
8004, National Bureau of Economic Research, Inc.
- John J. Donohue & Steven D. Levitt, 2001. "The Impact Of Legalized Abortion On Crime," The Quarterly Journal of Economics, MIT Press, vol. 116(2), pages 379-420, May.
- Donohue, John J. & Levitt, Steven D., 2000. "The Impact of Legalized Abortion on Crime," Berkeley Olin Program in Law & Economics, Working Paper Series qt00p599hk, Berkeley Olin Program in Law & Economics.
- Gabor Kezdi, 2005. "Robus Standard Error Estimation in Fixed-Effects Panel Models," Econometrics 0508018, EconWPA.
- Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2004.
"How Much Should We Trust Differences-in-Differences Estimates?,"
The Quarterly Journal of Economics,
MIT Press, vol. 119(1), pages 249-275, February.
- Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2002. "How Much Should We Trust Differences-in-Differences Estimates?," NBER Working Papers 8841, National Bureau of Economic Research, Inc.
- Stephen Nickell, 1980. "Correcting the Biases in Dynamic Models with Fixed Effects," Working Papers 513, Princeton University, Department of Economics, Industrial Relations Section..
- Gary Solon, 1983.
"The Effects of Unemployment Insurance Eligibility Rules on Job Quitting Behavior,"
Working Papers
541, Princeton University, Department of Economics, Industrial Relations Section..
- Gary Solon, 1984. "The Effects of Unemployment Insurance Eligibility Rules on Job Quitting Behavior," Journal of Human Resources, University of Wisconsin Press, vol. 19(1), pages 118-126.
- Jacobson, Louis S & LaLonde, Robert J & Sullivan, Daniel G, 1993.
"Earnings Losses of Displaced Workers,"
American Economic Review,
American Economic Association, vol. 83(4), pages 685-709, September.
- Louis S. Jacobson & Robert J. LaLonde & Daniel G. Sullivan, 1992. "Earnings losses of displaced workers," Working Paper Series, Macroeconomic Issues 92-28, Federal Reserve Bank of Chicago.
- Louis S. Jacobson & Robert J. LaLonde & Daniel Sullivan, 1992. "Earnings Losses of Displaced Workers," Upjohn Working Papers and Journal Articles 92-11, W.E. Upjohn Institute for Employment Research.
- David M. Drukker, 2003. "Testing for serial correlation in linear panel-data models," Stata Journal, StataCorp LP, vol. 3(2), pages 168-177, June.
- Gary Solon, 1983.
"Estimating Autocorrelations in Fixed-Effects Models,"
Working Papers
540, Princeton University, Department of Economics, Industrial Relations Section..
- Gary Solon, 1984. "Estimating Autocorrelations in Fixed-Effects Models," NBER Technical Working Papers 0032, National Bureau of Economic Research, Inc.
- Baltagi, Badi H. & Wu, Ping X., 1999. "Unequally Spaced Panel Data Regressions With Ar(1) Disturbances," Econometric Theory, Cambridge University Press, vol. 15(06), pages 814-823, December.
- Arellano, M, 1987. "Computing Robust Standard Errors for Within-Groups Estimators," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 49(4), pages 431-34, November.
- Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 225-38, January.
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
- Bhargava, A & Franzini, L & Narendranathan, W, 1982. "Serial Correlation and the Fixed Effects Model," Review of Economic Studies, Wiley Blackwell, vol. 49(4), pages 533-49, October.
- repec:fth:prinin:133 is not listed on IDEAS
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Walter Sosa Escudero, 2007. "Testing for Persistence in the Error Component Model:A One-Sided Approach," Working Papers 94, Universidad de San Andres, Departamento de Economia, revised Feb 2007.
- Yamagata, Takashi, 2008. "A joint serial correlation test for linear panel data models," Journal of Econometrics, Elsevier, vol. 146(1), pages 135-145, September.
Lists
This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.Statistics
Access and download statisticsCorrections
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:22:y:2006:i:05:p:835-851_06For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.

