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A joint test for serial correlation and random individual effects

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  • Baltagi, Badi H.
  • Li, Qi

Abstract

This paper derives a simple lagrange multiplier (LM) test which jointly tests the presence of random individual effects and serial correlation. This test is an extension of the Breusch and Pagan (1980) LM test. It is computationally simple and requires only the OLS residuals. It should prove useful for panel data applications where both serial correlation and random individual effects are suspect.

Suggested Citation

  • Baltagi, Badi H. & Li, Qi, 1991. "A joint test for serial correlation and random individual effects," Statistics & Probability Letters, Elsevier, vol. 11(3), pages 277-280, March.
    • Handle: RePEc:eee:stapro:v:11:y:1991:i:3:p:277-280
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    Cited by:

    1. Andree Ehlert & Dirk Oberschachtsiek & Stefan Prawda, 2013. "Cost Containment and Managed Care: Evidence from German Macro Data," Working Paper Series in Economics 284, University of Lüneburg, Institute of Economics.
    2. Walter Sosa Escudero & Anil K. Bera, 2008. "Tests for Unbalanced Error Component Models Under Local Misspecication," CEDLAS, Working Papers 0065, CEDLAS, Universidad Nacional de La Plata.
    3. McMahon, Walter W., 1998. "Education and Growth in East Asia," Economics of Education Review, Elsevier, vol. 17(2), pages 159-172, April.
    4. 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.
    5. Tuğba NUR-TOPALOĞLU & İlhan EGE, 2020. "The Effect of Investor Attention on Equity Markets: Panel Data Analysis on Banks Traded on Borsa Istanbul," Sosyoekonomi Journal, Sosyoekonomi Society, issue 28(44).
    6. Kumar, Saten, 2015. "Regional integration, capital mobility and financial intermediation revisited: Application of general to specific method in panel data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 1-17.
    7. Simbarashe Mhaka & Leward Jeke, 2018. "A comparative analysis of the determinants of South African bilateral trade flows with the European Union-Southern African Development Community economic partnership agreement and trade development an," Working Papers 1836, Department of Economics, Nelson Mandela University, revised Dec 2018.
    8. Bera, Anil K. & Sosa-Escudero, Walter & Yoon, Mann, 2001. "Tests for the error component model in the presence of local misspecification," Journal of Econometrics, Elsevier, vol. 101(1), pages 1-23, March.
    9. Baltagi, Badi H. & Li, Qi, 1995. "Testing AR(1) against MA(1) disturbances in an error component model," Journal of Econometrics, Elsevier, vol. 68(1), pages 133-151, July.
    10. Petrakis, P. E. & Stamatakis, D., 2002. "Growth and educational levels: a comparative analysis," Economics of Education Review, Elsevier, vol. 21(5), pages 513-521, October.
    11. Wen‐Den Chen, 2006. "An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(6), pages 911-921, November.
    12. Benjamin Born & Jörg Breitung, 2016. "Testing for Serial Correlation in Fixed-Effects Panel Data Models," Econometric Reviews, Taylor & Francis Journals, vol. 35(7), pages 1290-1316, August.
    13. Kevin Z. Chen & Karl D. Meilke & Calum Turvey, 1999. "Income risk and farm consumption behavior," Agricultural Economics, International Association of Agricultural Economists, vol. 20(2), pages 173-183, March.
    14. Croissant, Yves & Millo, Giovanni, 2008. "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i02).
    15. Hasan Vergil & Fuat Sekmen & Haşmet Gökirmak & Sukru Apaydin, 2022. "2008 financial crisis and income distribution in Turkey," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(4), pages 2627-2643, August.
    16. Jake Kendall & Nirvikar Singh, 2012. "Performance of Internet Kiosks in Rural India," Review of Market Integration, India Development Foundation, vol. 4(1), pages 1-43, April.
    17. Wu, Jianhong & Zhu, Lixing, 2011. "Testing for serial correlation and random effects in a two-way error component regression model," Economic Modelling, Elsevier, vol. 28(6), pages 2377-2386.
    18. Federico Zincenko & Walter Sosa-Escudero & Gabriel Montes-Rojas, 2014. "Robust tests for time-invariant individual heterogeneity versus dynamic state dependence," Empirical Economics, Springer, vol. 47(4), pages 1365-1387, December.
    19. Gilberto Fraga & Carlos Bacha, 2011. "The Non-linearity of the Relationship between Human Capital and Exports in Brazil – evidences of regional differences," ERSA conference papers ersa11p1016, European Regional Science Association.
    20. Andree Ehlert & Dirk Oberschachtsiek, 2014. "Does managed care reduce health care expenditure? Evidence from spatial panel data," International Journal of Health Economics and Management, Springer, vol. 14(3), pages 207-227, September.
    21. Serap Bedir Kara & Aysegul Coskun, 2020. "The Impact of Gender Inequalities in Education on Income Corporate Social Responsibility (CSR)," Eurasian Journal of Social Sciences, Eurasian Publications, vol. 8(4), pages 148-162.
    22. Walter Sosa Escudero & Federico Zincenko, 2008. "Tests for Dynamic Effects in Linear Panel Data Models," Working Papers 95, Universidad de San Andres, Departamento de Economia, revised Feb 2008.
    23. repec:jss:jstsof:27:i02 is not listed on IDEAS
    24. Wu, Jianhong, 2020. "A joint test for serial correlation and heteroscedasticity in fixed-T panel regression models with interactive effects," Economics Letters, Elsevier, vol. 197(C).
    25. Ashwini Deshpande & Thomas E. Weisskopf, 2010. "Does Affirmative Action Affect Productivity In The Indian Railways?," Working papers 185, Centre for Development Economics, Delhi School of Economics.

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