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A Portmanteau Test For Serially Correlated Errors In Fixed Effects Models

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  • Inoue, Atsushi
  • Solon, Gary

Abstract

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties.The authors thank the co-editor, the referee, David Drukker, Christian Hansen, and Jeffrey Wooldridge for their helpful comments.

Suggested Citation

  • Inoue, Atsushi & Solon, Gary, 2006. "A Portmanteau Test For Serially Correlated Errors In Fixed Effects Models," Econometric Theory, Cambridge University Press, vol. 22(5), pages 835-851, October.
    • Handle: RePEc:cup:etheor:v:22:y:2006:i:05:p:835-851_06
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    References listed on IDEAS

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    Cited by:

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    3. Juhl, Ted & Sosa-Escudero, Walter, 2014. "Testing for heteroskedasticity in fixed effects models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 484-494.
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    9. Boto-García, David, 2023. "Investigating the two-way relationship between mobility flows and COVID-19 cases," Economic Modelling, Elsevier, vol. 118(C).
    10. Walter Sosa Escudero, 2007. "Testing for Persistence in the Error Component Model:A One-Sided Approach," Working Papers 94, Universidad de San Andres, Departamento de Economia, revised Feb 2007.
    11. Jochmans, K., 2019. "Testing Correlation in Error-Component Models," Cambridge Working Papers in Economics 1993, Faculty of Economics, University of Cambridge.
    12. Okui Ryo, 2014. "Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 129-181, July.
    13. Gregory A. Falls & Paul A. Natke & Linlan Xiao, 2022. "College football attendance in the long run: The Football Championship Subdivision," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(6), pages 2172-2183, September.
    14. Cariolle, Joël, 2021. "International connectivity and the digital divide in Sub-Saharan Africa," Information Economics and Policy, Elsevier, vol. 55(C).
    15. Koen Jochmans, 2020. "Testing for correlation in error‐component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(7), pages 860-878, November.
    16. Attila, Joseph G., 2022. "Does bank deposits volatility react to political instability in developing countries?," Finance Research Letters, Elsevier, vol. 49(C).
    17. Renz, Franziska M. & Vogel, Julian U.N. & Xie, Feixue, 2023. "Do as they say or do as they do? — Uncovering the effects of inappropriate methods and unreliable data in boardroom diversity research," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 410-420.
    18. Srivastava, Preety & Trinh, Trong-Anh, 2021. "The effect of parental smoking on children’s cognitive and non-cognitive skills," Economics & Human Biology, Elsevier, vol. 41(C).
    19. Jochmans, K. & Verardi, V., 2019. "xtserialpm: A portmanteau test for serial correlation in a linear panel model," Cambridge Working Papers in Economics 1944, Faculty of Economics, University of Cambridge.
    20. Du, Zaichao, 2014. "Testing for serial independence of panel errors," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 248-261.
    21. Alejo, Javier & Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2018. "Testing for serial correlation in hierarchical linear models," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 101-116.
    22. Tijl Hendrich & Jennifer Buurma-Olsen & Judith Bayer, 2022. "Entries and Regional Growth: The Role of Relatedness," CPB Discussion Paper 433, CPB Netherlands Bureau for Economic Policy Analysis.
    23. Yamagata, Takashi, 2008. "A joint serial correlation test for linear panel data models," Journal of Econometrics, Elsevier, vol. 146(1), pages 135-145, September.

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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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