A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS

B-Tier
Journal: Econometric Theory
Year: 2006
Volume: 22
Issue: 5
Pages: 835-851

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:22:y:2006:i:05:p:835-851_06
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25