A portmanteau test for serial correlation in a linear panel model
نویسندگان
چکیده
منابع مشابه
Testing for serial correlation in linear panel-data models
Because serial correlation in linear panel-data models biases the standard errors and causes the results to be less efficient, researchers need to identify serial correlation in the idiosyncratic error term in a panel-data model. A new test for serial correlation in randomor fixed-effects one-way models derived by Wooldridge (2002) is attractive because it can be applied under general condition...
متن کاملPortmanteau test statistics for seasonal serial correlation in time series models
The seasonal autoregressive moving average SARMA models have been widely adopted for modeling many time series encountered in economic, hydrology, meteorological, and environmental studies which exhibited strong seasonal behavior with a period s. If the model is adequate, the autocorrelations in the errors at the seasonal and the nonseasonal lags will be zero. Despite the popularity uses of the...
متن کاملPortmanteau Test and Simultaneous Inference for Serial Covariances
The supplementary file is organized as follows. We first collect in Section S1 some moment inequalities concerning the sums and quadratic forms of stationary processes, which might be useful for other studies. We then give the complements of Section 4.1 in Section S2, and the complements of Section 4.2 in Section S3, including the proofs of intermediate lemmas, as well as other theorems and cor...
متن کاملSpatial Correlation Testing for Errors in Panel Data Regression Model
To investigate the spatial error correlation in panel regression models, various statistical hypothesizes and testings have been proposed. This paper, within introduction to spatial panel data regression model, existence of spatial error correlation and random effects is investigated by a joint Lagrange Multiplier test, which simultaneously tests their existence. For this purpose, joint Lagrang...
متن کاملOn the power of Portmanteau serial correlation tests
This paper studies properties of the portmanteau statistic proposed by Box and Pierce [1] and its modification of Ljung and Box [2]. We show that these portmanteau statistics are feasible analogs to optimal tests for the class of statistics which are linear combinations of consistent estimates of serial correlations. We find, however, that for sample sizes commonly encountered in practice, the ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Stata Journal: Promoting communications on statistics and Stata
سال: 2020
ISSN: 1536-867X,1536-8734
DOI: 10.1177/1536867x20909695