A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS

Atsushi Inoue and Gary Solon

Econometric Theory, 2006, vol. 22, issue 05, pages 835-851

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.

Date: 2006

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Working Paper: A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models (2005)
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