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A joint test for serial correlation and random individual effects

Badi Baltagi () and Qi Li

Statistics & Probability Letters, 1991, vol. 11, issue 3, 277-280

Abstract: This paper derives a simple lagrange multiplier (LM) test which jointly tests the presence of random individual effects and serial correlation. This test is an extension of the Breusch and Pagan (1980) LM test. It is computationally simple and requires only the OLS residuals. It should prove useful for panel data applications where both serial correlation and random individual effects are suspect.

Keywords: Lagrange; multiplier; test; error; components; Breusch-Pagan; test; serial; correlation (search for similar items in EconPapers)
Date: 1991
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