Serial Correlation and the Fixed Effects Model

Alok Bhargava (), L. Franzini and W. Narendranathan
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L. Franzini: London School of Economics, UK
W. Narendranathan: London School of Economics, UK
Authors registered in the RePEc Author Service: Wiji Arulampalam

Chapter 4 in Econometrics, Statistics and Computational Approaches in Food and Health Sciences, 2006, pp 61-77 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper generalizes the Durbin–Watson type statistics to test the OLS residuals from the fixed effects model for serial independence. Also generalized are the tests proposed by Sargan and Bhargava for the hypothesis that the residuals form a random walk. A method for efficient estimation of the parameters is also developed. Finally, an earnings function is estimated using the Michigan Survey of Income Dynamics in order to illustrate the uses of the tests and the estimation procedures developed in this paper.

Keywords: Econometrics; Nutrition; Health; Child Development; Psychology; Behavioral Nutrition; Demography; Anthropology; Economic Development; Agricultural Economics; Environmental Sciences; Epidemiology; Nonlinear Optimization (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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Journal Article: Serial Correlation and the Fixed Effects Model (1982)
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