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Serial Correlation and the Fixed Effects Model

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  • A. Bhargava
  • L. Franzini
  • W. Narendranathan

Abstract

This paper generalizes the Durbin-Watson type statistics to test the OLS residuals from the fixed effects model for serial independence. Also generalized are the tests proposed by Sargan and Bhargava for the hypothesis that the residuals form a random walk. A method for efficient estimation of the parameters is also developed. Finally, an earnings function is estimated using the Michigan Survey of Income Dynamics in order to illustrate the uses of the tests and the estimation procedures developed in this paper.

Suggested Citation

  • A. Bhargava & L. Franzini & W. Narendranathan, 1982. "Serial Correlation and the Fixed Effects Model," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 49(4), pages 533-549.
    • Handle: RePEc:oup:restud:v:49:y:1982:i:4:p:533-549.
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    File URL: http://hdl.handle.net/10.2307/2297285
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    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy; Animal Welfare Policy
    • Z18 - Other Special Topics - - Cultural Economics - - - Public Policy

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