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A Portmanteau Test For Serially Correlated Errors In Fixed Effects Models

  • Inoue, Atsushi
  • Solon, Gary

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a conditional Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties.

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 22 (2006)
Issue (Month): 05 (October)
Pages: 835-851

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Handle: RePEc:cup:etheor:v:22:y:2006:i:05:p:835-851_06
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  1. 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.
  2. Gary Solon, 1984. "Estimating Autocorrelations in Fixed-Effects Models," NBER Technical Working Papers 0032, National Bureau of Economic Research, Inc.
  3. Leora Friedberg, 1998. "Did Unilateral Divorce Raise Divorce Rates? Evidence from Panel Data," NBER Working Papers 6398, National Bureau of Economic Research, Inc.
  4. 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.
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  6. Gary Chamberlain, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 225-238.
  7. 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.
  8. David M. Drukker, 2003. "Testing for serial correlation in linear panel-data models," Stata Journal, StataCorp LP, vol. 3(2), pages 168-177, June.
  9. repec:pri:indrel:dsp01ks65hc22f is not listed on IDEAS
  10. A. Bhargava & L. Franzini & W. Narendranathan, 1982. "Serial Correlation and the Fixed Effects Model," Review of Economic Studies, Oxford University Press, vol. 49(4), pages 533-549.
  11. Gabor Kezdi, 2005. "Robus Standard Error Estimation in Fixed-Effects Panel Models," Econometrics 0508018, EconWPA.
  12. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
  13. 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.
  14. 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.
  15. Stephen Nickell, 1980. "Correcting the Biases in Dynamic Models with Fixed Effects," Working Papers 513, Princeton University, Department of Economics, Industrial Relations Section..
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