Description Usage Arguments Details Value Author(s) References See Also Examples
Test of serial correlation for (the idiosyncratic component of) the errors in panel models.
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x |
an object of class |
... |
further arguments to be passed on to |
data |
a |
This Durbin–Watson test uses the auxiliary model on
(quasi-)demeaned data taken from a model of class plm
which may
be a pooling
(the default), random
or within
model. It
performs a Durbin–Watson test (using dwtest
from package
lmtest on the residuals of the (quasi-)demeaned model,
which should be serially uncorrelated under the null of no serial
correlation in idiosyncratic errors. The function takes the
demeaned data, estimates the model and calls dwtest
. Thus, this
test does not take the panel structure of the residuals into
consideration; it shall not be confused with the generalized
Durbin-Watson test for panels in pbnftest
.
An object of class "htest"
.
Giovanni Millo
DURB:WATS:50plm
\insertRefDURB:WATS:51plm
\insertRefDURB:WATS:71plm
\insertRefWOOL:02plm
\insertRefWOOL:10plm
lmtest::dwtest()
for the Durbin–Watson test
in lmtest, pbgtest()
for the analogous
Breusch–Godfrey test for panel models,
lmtest::bgtest()
for the Breusch–Godfrey test for
serial correlation in the linear model. pbltest()
,
pbsytest()
, pwartest()
and
pwfdtest()
for other serial correlation tests for
panel models.
For the Durbin-Watson test generalized to panel data models see
pbnftest()
.
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