A portmanteau test for serially correlated errors in fixed effects models
By: Atsushi Inoue, Gary Solon.
Contributors: Solon, Gary, 1954-; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper . 310; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. . 310.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Monte Carlo method.; Multipliers (Mathematical analysis); Mathematical models.
Description: "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"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.