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.

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Year of publication:	1991
Authors:	Baltagi, Badi H. ; Li, Qi
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 11.1991, 3, p. 277-280
Publisher:	Elsevier
Keywords:	Lagrange multiplier test error components Breusch-Pagan test serial correlation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223060