Add to ORKGWe 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.
This paper derives a simple lagrange multiplier (LM) test which jointly tests the presence of random...
An approximate F-form of the Lagrange multiplier test for serial correlation in dynamic regression m...
This paper characterizes the impact of covariates serial dependence on the non-asymptotic estimation...
Abstract We propose a portmanteau test for serial correlation of the error term in a fixed effects m...
Inoue and Solon (2006, A Portmanteau test for serially correlated errors in fixed effects models, E...
AbstractMultivariate autoregressive models with exogenous variables (VARX) are often used in econome...
Testing the presence of serial correlation in the error terms in fixed effects regression models is ...
Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time serie...
In this article, we propose various tests for serial correlation in fixed-effects panel data regress...
It is well known that most of the standard specification tests are not valid when the alternative hy...
This article reviews some recent advances in testing for serial correlation, provides Stata code for...
This paper is concerned with tests for serial correlation in time series and in the errors of regres...
A data-driven version of a portmanteau test for detecting nonlinear types of statistical dependence...
Current serial correlation tests for panel models are either cumbersome to use, not suited for fixed...
It is well known that most of the standard speci¯cation tests are not valid when the alternative hyp...
This paper derives a simple lagrange multiplier (LM) test which jointly tests the presence of random...
An approximate F-form of the Lagrange multiplier test for serial correlation in dynamic regression m...
This paper characterizes the impact of covariates serial dependence on the non-asymptotic estimation...
Abstract We propose a portmanteau test for serial correlation of the error term in a fixed effects m...
Inoue and Solon (2006, A Portmanteau test for serially correlated errors in fixed effects models, E...
AbstractMultivariate autoregressive models with exogenous variables (VARX) are often used in econome...
Testing the presence of serial correlation in the error terms in fixed effects regression models is ...
Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time serie...
In this article, we propose various tests for serial correlation in fixed-effects panel data regress...
It is well known that most of the standard specification tests are not valid when the alternative hy...
This article reviews some recent advances in testing for serial correlation, provides Stata code for...
This paper is concerned with tests for serial correlation in time series and in the errors of regres...
A data-driven version of a portmanteau test for detecting nonlinear types of statistical dependence...
Current serial correlation tests for panel models are either cumbersome to use, not suited for fixed...
It is well known that most of the standard speci¯cation tests are not valid when the alternative hyp...
This paper derives a simple lagrange multiplier (LM) test which jointly tests the presence of random...
An approximate F-form of the Lagrange multiplier test for serial correlation in dynamic regression m...
This paper characterizes the impact of covariates serial dependence on the non-asymptotic estimation...