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A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS

Published online by Cambridge University Press:  30 August 2006

Atsushi Inoue  and
Gary Solon
Atsushi Inoue
Affiliation:
North Carolina State University
Gary Solon
Affiliation:
University of Michigan
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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.

Type
Research Article
Information
Econometric Theory , Volume 22 , Issue 5 , October 2006 , pp. 835 - 851
Copyright
© 2006 Cambridge University Press

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