Baltagi, Badi H.; Jung, Byoung Cheol; Song, Seuck Heun - Center for Policy Research, Maxwell School - 2008
This paper considers a panel data regression model with heteroskedastic as well as serially correlated disturbances, and derives a joint LM test for homoskedasticity and no first order serial correlation. The restricted model is the standard random individual error component model. It also...