Serial Correlation and the Fixed Effects Model

S-Tier
Journal: Review of Economic Studies
Year: 1982
Volume: 49
Issue: 4
Pages: 533-549

Authors (3)

A. Bhargava (University of Maryland) L. Franzini (not in RePEc) W. Narendranathan (not in RePEc)

Score contribution per author:

2.681 = (α=2.01 / 3 authors) × 4.0x S-tier

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

Abstract

This paper generalizes the Durbin-Watson type statistics to test the OLS residuals from the fixed effects model for serial independence. Also generalized are the tests proposed by Sargan and Bhargava for the hypothesis that the residuals form a random walk. A method for efficient estimation of the parameters is also developed. Finally, an earnings function is estimated using the Michigan Survey of Income Dynamics in order to illustrate the uses of the tests and the estimation procedures developed in this paper.

Technical Details

RePEc Handle
repec:oup:restud:v:49:y:1982:i:4:p:533-549.
Journal Field
General
Author Count
3
Added to Database
2026-01-24