pbltest | R Documentation |
BALT:LI:95;textualplm's Lagrange multiplier test for AR(1) or MA(1) idiosyncratic errors in panel models with random effects.
pbltest(x, ...)
## S3 method for class 'formula'
pbltest(x, data, alternative = c("twosided", "onesided"), index = NULL, ...)
## S3 method for class 'plm'
pbltest(x, alternative = c("twosided", "onesided"), ...)
x |
a model formula or an estimated randomâ€“effects model of
class |
... |
further arguments. |
data |
for the formula interface only: a |
alternative |
one of |
index |
the index of the |
This is a Lagrange multiplier test for the null of no serial
correlation, against the alternative of either an AR(1) or a MA(1)
process, in the idiosyncratic component of the error term in a
random effects panel model (as the analytical expression of the
test turns out to be the same under both alternatives,
\insertCite@see @BALT:LI:95 and @BALT:LI:97plm. The
alternative
argument, defaulting to twosided
, allows testing
for positive serial correlation only, if set to onesided
.
An object of class "htest"
.
Giovanni Millo
BALT:LI:95plm
\insertRefBALT:LI:97plm
pdwtest()
, pbnftest()
, pbgtest()
,
pbsytest()
, pwartest()
and
pwfdtest()
for other serial correlation tests for
panel models.
data("Grunfeld", package = "plm")
# formula interface
pbltest(inv ~ value + capital, data = Grunfeld)
# plm interface
re_mod <- plm(inv ~ value + capital, data = Grunfeld, model = "random")
pbltest(re_mod)
pbltest(re_mod, alternative = "onesided")
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