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  • Cited by 7
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    This article has been cited by the following publications. This list is generated based on data provided by CrossRef.

    Born, Benjamin and Breitung, Jörg 2016. Testing for Serial Correlation in Fixed-Effects Panel Data Models. Econometric Reviews, Vol. 35, Issue. 7, p. 1290.


    Du, Zaichao 2014. Testing for serial independence of panel errors. Computational Statistics & Data Analysis, Vol. 76, p. 248.


    Juhl, Ted and Lugovskyy, Oleksandr 2014. A Test for Slope Heterogeneity in Fixed Effects Models. Econometric Reviews, Vol. 33, Issue. 8, p. 906.


    Sosa-Escudero, Walter 2013. Testing for Persistence in the Error Component Model: A One-Sided Approach. Communications in Statistics - Theory and Methods, Vol. 42, Issue. 14, p. 2601.


    Su, Liangjun and Lu, Xun 2013. Nonparametric dynamic panel data models: Kernel estimation and specification testing. Journal of Econometrics, Vol. 176, Issue. 2, p. 112.


    Okui, Ryo 2009. Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators. Mathematics and Computers in Simulation, Vol. 79, Issue. 9, p. 2897.


    Yamagata, Takashi 2008. A joint serial correlation test for linear panel data models. Journal of Econometrics, Vol. 146, Issue. 1, p. 135.


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A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS

  • Atsushi Inoue (a1) and Gary Solon (a2)
  • DOI: http://dx.doi.org/10.1017/S0266466606060385
  • Published online: 01 October 2006
Abstract

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.

Copyright
Corresponding author
Address correspondence to Gary Solon, Department of Economics, Lorch Hall, University of Michigan, Ann Arbor, MI 48109-1220, USA; e-mail: gsolon@umich.edu.
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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