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A joint test for serial correlation and random individual effects

  • Baltagi, Badi H.
  • Li, Qi

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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File URL: http://www.sciencedirect.com/science/article/B6V1D-45FCH7X-1D/2/c79fe7d510ef725ccf324fd9f2cddce5
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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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