Published:
Cambridge, Mass: National Bureau of Economic Research, June 2005
Published in:NBER technical working paper series ; no. t0310
Extent:
1 Online-Ressource
Language:
English
DOI:
10.3386/t0310
Identifier:
Reproduction note:
Hardcopy version available to institutional subscribers
Origination:
Footnote:
Mode of access: World Wide Web
System requirements: Adobe [Acrobat] Reader required for PDF files
Description:
We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a conditional Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties