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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.

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Bibliographic Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 11 (1991)
Issue (Month): 3 (March)
Pages: 277-280

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Handle: RePEc:eee:stapro:v:11:y:1991:i:3:p:277-280

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Related research

Keywords: Lagrange multiplier test error components Breusch-Pagan test serial correlation;

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Cited by:
  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. Chen, Kevin Z. & Meilke, Karl D. & Turvey, Calum, 1999. "Income risk and farm consumption behavior," Agricultural Economics: The Journal of the International Association of Agricultural Economists, International Association of Agricultural Economists, vol. 20(2), March.
  7. Chen, Kevin Z. & D. Meilke, Karl & Turvey, Calum, 1999. "Income risk and farm consumption behavior," Agricultural Economics, Blackwell, vol. 20(2), pages 173-183, March.
  8. McMahon, Walter W., 1998. "Education and Growth in East Asia," Economics of Education Review, Elsevier, vol. 17(2), pages 159-172, April.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Yves Croissant & Giovanni Millo, . "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, American Statistical Association, vol. 27(i02).

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