A Portmanteau Test For Serially Correlated Errors In Fixed Effects Models
AbstractWe 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.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 22 (2006)
Issue (Month): 05 (October)
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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
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