A Portmanteau test for serially correlated errors in fixed effects models

被引：30
|
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.
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页码：835 / 851
页数：17
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