A Portmanteau test for serially correlated errors in fixed effects models

被引：36

作者：

Inoue, Atsushi ^{[1
]}

Solon, Gary ^{[1
]}

机构：

[1] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA

来源：

ECONOMETRIC THEORY | 2006年 / 22卷 / 05期

关键词：

D O I：

10.1017/S0266466606060385

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：835 / 851

页数：17

共 18 条

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[2]

Arellano M., 2001, Handbook of econometrics, V5, P3229, DOI DOI 10.1016/S1573-4412(01)05006-1

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