A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models

Atsushi Inoue and Gary Solon

No 310, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a conditional Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties.

JEL-codes: C23 (search for similar items in EconPapers)
Date: 2005-06
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: TWP
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Journal Article: A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS (2006)
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