pbltest: Baltagi and Li Serial Dependence Test For Random Effects...

In ycroissant/plm: Linear Models for Panel Data

Baltagi and Li Serial Dependence Test For Random Effects Models

Description

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BALT:LI:95;textualplm's Lagrange multiplier test for AR(1) or MA(1) idiosyncratic errors in panel models with random effects.

Usage

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"), ...)

Arguments

x	a model formula or an estimated random–effects model of class plm ,
...	further arguments.
data	for the formula interface only: a data.frame,
alternative	one of "twosided", "onesided". Selects either H_A: \rho \neq 0 or H_A: \rho = 0 (i.e., the Normal or the Chi-squared version of the test),
index	the index of the data.frame,

Details

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.

Value

An object of class "htest".

Author(s)

Giovanni Millo

References

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BALT:LI:95plm

\insertRef

BALT:LI:97plm

See Also

pdwtest(), pbnftest(), pbgtest(), pbsytest(), pwartest() and pwfdtest() for other serial correlation tests for panel models.

Examples

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")

ycroissant/plm documentation built on July 8, 2024, 3:59 a.m.