A joint test for serial correlation and random individual effects
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 11 (1991)
Issue (Month): 3 (March)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|