Bera, Anil; Sosa Escudero, Walter; Yoon, Mann - Facultad de Ciencias Económicas, Universidad Nacional … - 2000
It is well known that most of the standard speci¯cation tests are not valid when the alternative hypothesis is misspeci¯ed. This is particularly true in the error component model, when one tests for either random e®ects or serial correlation without taking account of the presence of the other...