A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models

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

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Year of publication:	[2021]
Authors:	Inoue, Atsushi ; Solon, Gary
Publisher:	[S.l.] : SSRN
Subject:	Monte-Carlo-Simulation \| Monte Carlo simulation \| Korrelation \| Correlation \| Statistischer Test \| Statistical test \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (21 p)
Series:	NBER Working Paper ; No. t0310
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2005 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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