Description Usage Arguments Details Value Author(s) References See Also Examples
Test of serial correlation for (the idiosyncratic component of) the errors in fixed–effects panel models.
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x |
an object of class |
... |
further arguments to be passed on to |
data |
a |
As \insertCiteWOOL:10;textualplm, Sec. 10.5.4 observes, under the null of no serial correlation in the errors, the residuals of a FE model must be negatively serially correlated, with cor(\hat{u}_{it}, \hat{u}_{is})=-1/(T-1) for each t,s. He suggests basing a test for this null hypothesis on a pooled regression of FE residuals on their first lag: \hat{u}_{i,t} = α + δ \hat{u}_{i,t-1} + η_{i,t}. Rejecting the restriction δ = -1/(T-1) makes us conclude against the original null of no serial correlation.
pwartest
estimates the within
model and retrieves residuals,
then estimates an AR(1) pooling
model on them. The test statistic
is obtained by applying a F test to the latter model to test the
above restriction on δ, setting the covariance matrix to
vcovHC
with the option method="arellano"
to control for serial
correlation.
Unlike the pbgtest()
and pdwtest()
, this test does
not rely on large–T asymptotics and has therefore good properties in
“short” panels. Furthermore, it is robust to general heteroskedasticity.
An object of class "htest"
.
Giovanni Millo
WOOL:02plm
\insertRefWOOL:10plm
pwfdtest()
, pdwtest()
, pbgtest()
, pbltest()
,
pbsytest()
.
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