A Portmanteau Test For Serially Correlated Errors In Fixed Effects Models
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.
(This abstract was borrowed from another version of this item.)
Volume (Year): 22 (2006)
Issue (Month): 05 (October)
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