A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models

21 Pages Posted: 6 Jul 2005

See all articles by Atsushi Inoue

Atsushi Inoue

Southern Methodist University

Gary Solon

University of Arizona; National Bureau of Economic Research (NBER)

Date Written: June 2005

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.

Suggested Citation

Inoue, Atsushi and Solon, Gary, A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models (June 2005). NBER Working Paper No. t0310. Available at SSRN: https://ssrn.com/abstract=745804

Atsushi Inoue

Southern Methodist University ( email )

Dallas, TX 75275
United States

Gary Solon (Contact Author)

University of Arizona ( email )

Department of Economics
Eller College of Management
Tucson, AZ 85719
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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