A JOINT TEST FOR SERIAL-CORRELATION AND RANDOM INDIVIDUAL EFFECTS

被引：40

作者：

BALTAGI, BH

QI, L

机构：

[1] Texas A and M University, Department of Economics, College Station

来源：

STATISTICS & PROBABILITY LETTERS | 1991年 / 11卷 / 03期

关键词：

LAGRANGE MULTIPLIER TEST; ERROR COMPONENTS; BREUSCH-PAGAN TEST; SERIAL CORRELATION;

D O I：

10.1016/0167-7152(91)90156-L

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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 Breush 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.

引用

页码：277 / 280

页数：4

共 12 条

[1]

[Anonymous], 1984, HDB ECONOMETRICS, DOI DOI 10.1016/S1573-4412(84)02005-5

[2] POOLING CROSS SECTION AND TIME SERIES DATA IN ESTIMATION OF A DYNAMIC MODEL - DEMAND FOR NATURAL GAS [J].