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XTDPDSERIAL: Stata module to perform panel data serial correlation tests

Author

Listed:
  • Sebastian Kripfganz

    (University of Exeter Business School)

Programming Language

Stata

Abstract

xtdpdserial implements serial correlation tests for linear panel data models that fall into the framework of the portmanteau test developed by Jochmans (2020). Special cases are the Arellano and Bond (1991) and Yamagata (2008) tests, and further variants proposed by Kripfganz, Demetrescu, and Hosseinkouchack (2024) designed to improve the power of the test. By default, these are postestimation tests for serial correlation in the idiosyncratic error component e_it from a linear error components model with combined error term u_i + e_it, where u_i is the group-specific error component. The test accounts for the estimation error in the regression residuals. If varname is specified, the command applies a standalone test to the specified variable instead of residuals. Applied to regression residuals, these tests allow the independent variables in the regression model to be strictly exogenous, predetermined, or endogenous, as long as the estimator is consistent under the null hypothesis of serially uncorrelated errors. The tests are robust to heteroskedasticity by construction.

Suggested Citation

  • Sebastian Kripfganz, 2024. "XTDPDSERIAL: Stata module to perform panel data serial correlation tests," Statistical Software Components S459369, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459369
    Note: This module should be installed from within Stata by typing "ssc install xtdpdserial". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdpdserial.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdpdserial.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lxtdpdserial.mlib
    File Function: Mata object library
    Download Restriction: no
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