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)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_ECT
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Gary Solon, 1984. "Estimating Autocorrelations in Fixed-Effects Models," NBER Technical Working Papers 0032, National Bureau of Economic Research, Inc.
- Leora Friedberg, 1998. "Did Unilateral Divorce Raise Divorce Rates? Evidence from Panel Data," NBER Working Papers 6398, National Bureau of Economic Research, Inc.
- 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.
- repec:fth:prinin:133 is not listed on IDEAS
- Gary Chamberlain, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 225-238.
- 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.
- Louis S. Jacobson & Robert J. LaLonde & Daniel Sullivan, 1992. "Earnings Losses of Displaced Workers," Upjohn Working Papers and Journal Articles 92-11, W.E. Upjohn Institute for Employment Research.
- Louis S. Jacobson & Robert J. LaLonde & Daniel G. Sullivan, 1992. "Earnings losses of displaced workers," Working Paper Series, Macroeconomic Issues 92-28, Federal Reserve Bank of Chicago.
- David M. Drukker, 2003. "Testing for serial correlation in linear panel-data models," Stata Journal, StataCorp LP, vol. 3(2), pages 168-177, June.
- repec:pri:indrel:dsp01ks65hc22f is not listed on IDEAS
- 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.
- Gabor Kezdi, 2005. "Robus Standard Error Estimation in Fixed-Effects Panel Models," Econometrics 0508018, EconWPA.
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
- 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.
- Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2004. "How Much Should We Trust Differences-In-Differences Estimates?," The Quarterly Journal of Economics, Oxford University Press, vol. 119(1), pages 249-275.
- 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.
- Stephen Nickell, 1980. "Correcting the Biases in Dynamic Models with Fixed Effects," Working Papers 513, Princeton University, Department of Economics, Industrial Relations Section..
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:22:y:2006:i:05:p:835-851_06. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.