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xtserialpm: A portmanteau test for serial correlation in a linear panel model

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Listed:
  • Jochmans, K.
  • Verardi, V.

Abstract

We introduce the command xtserialpm to perform the portmanteau test developed in Jochmans (2019). The procedure tests for serial correlation in the errors of a linear panel model after estimation of the regression coefficients by the within-group estimator. The test is different from the test of Inoue and Solon (2006) that is performed by xtistest (Wursten 2018) in that it allows for heteroskedasticity. In simulations documented below, xtserialpm is found to provide a much more powerful test than xtistest. xtserialpm can deal with unbalanced panel data.

Suggested Citation

  • Jochmans, K. & Verardi, V., 2019. "xtserialpm: A portmanteau test for serial correlation in a linear panel model," Cambridge Working Papers in Economics 1944, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:1944
    Note: kj345
    as

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    References listed on IDEAS

    as
    1. Benjamin Born & Jörg Breitung, 2016. "Testing for Serial Correlation in Fixed-Effects Panel Data Models," Econometric Reviews, Taylor & Francis Journals, vol. 35(7), pages 1290-1316, August.
    2. Jochmans, Koen, 2020. "A Portmanteau Test For Correlation In Short Panels," Econometric Theory, Cambridge University Press, vol. 36(6), pages 1159-1166, December.
    3. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291.
    4. Jesse Wursten, 2018. "Testing for serial correlation in fixed-effects panel models," Stata Journal, StataCorp LLC, vol. 18(1), pages 76-100, March.
    5. David M. Drukker, 2003. "Testing for serial correlation in linear panel-data models," Stata Journal, StataCorp LLC, vol. 3(2), pages 168-177, June.
    6. Inoue, Atsushi & Solon, Gary, 2006. "A Portmanteau Test For Serially Correlated Errors In Fixed Effects Models," Econometric Theory, Cambridge University Press, vol. 22(5), pages 835-851, October.
    Full references (including those not matched with items on IDEAS)

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    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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