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Persistent link: https://www.econbiz.de/10012115831
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
Persistent link: https://www.econbiz.de/10013229087