XTSERIALPM: Stata module to perform a portmanteau test for serial correlation in panel data

Koen Jochmans and Vincenzo Verardi

Statistical Software Components from Boston College Department of Economics

Abstract: xtserialpm performs the portmanteau test developed in Jochmans (2019). The procedure tests for serial correlation in the errors of a linear panel model after estimation of the regression coefficients by the within-group estimator. Unbalanced data are allowed.

Language: Stata
Requires: Stata version 10.1
Keywords: panel data; portmanteau test; serial correlation (search for similar items in EconPapers)
Date: 2019-05-03
Note: This module should be installed from within Stata by typing "ssc install xtserialpm". 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.
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http://fmwww.bc.edu/repec/bocode/x/xtserialpm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtserialpm.sthlp help file (text/plain)

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