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A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models
NBER Technical Working Papers from National Bureau of Economic Research, Inc
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.
JEL-codes: C23 (search for similar items in EconPapers)
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Related works: Journal Article: A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS (2006) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:nbr:nberte:0310
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