A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a conditional Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties.

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Year of publication:	2005-06
Authors:	Inoue, Atsushi ; Solon, Gary
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Technical Working Papers.
Type of publication:	Book / Working Paper
Notes:	TWP Number 0310
Classification:	C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005725296