A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models
نویسندگان
چکیده
We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties. ∗The authors thank the co-editor, the referee, David Drukker, Christian Hansen, and Jeffrey Wooldridge for their helpful comments. Corresponding author: Gary Solon, Department of Economics, Lorch Hall, University of Michigan, Ann Arbor, MI 48109-1220, USA. Telephone: 734-763-1306. Fax: 734-764-2769. E-mail: [email protected]. A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models
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Testing Serial Correlation in Fixed Effects Regression Models: the Ljung-Box Test for Panel Data
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