Econometric Theory



A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS


Atsushi  Inoue  a1 and Gary  Solon  a2 c1
a1 North Carolina State University
a2 University of Michigan

Article author query
inoue a   [Google Scholar] 
solon g   [Google Scholar] 
 

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. a


Correspondence:
c1 Address correspondence to Gary Solon, Department of Economics, Lorch Hall, University of Michigan, Ann Arbor, MI 48109-1220, USA; e-mail: gsolon@umich.edu.


Footnotes

a The authors thank the co-editor, the referee, David Drukker, Christian Hansen, and Jeffrey Wooldridge for their helpful comments.



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