XTDPDSERIAL: Stata module to perform panel data serial correlation tests

Sebastian Kripfganz

Statistical Software Components from Boston College Department of Economics

Abstract: xtdpdserial implements serial correlation tests for linear panel data models that fall into the framework of the portmanteau test developed by Jochmans (2020). Special cases are the Arellano and Bond (1991) and Yamagata (2008) tests, and further variants proposed by Kripfganz, Demetrescu, and Hosseinkouchack (2024) designed to improve the power of the test. By default, these are postestimation tests for serial correlation in the idiosyncratic error component e_it from a linear error components model with combined error term u_i + e_it, where u_i is the group-specific error component. The test accounts for the estimation error in the regression residuals. If varname is specified, the command applies a standalone test to the specified variable instead of residuals. Applied to regression residuals, these tests allow the independent variables in the regression model to be strictly exogenous, predetermined, or endogenous, as long as the estimator is consistent under the null hypothesis of serially uncorrelated errors. The tests are robust to heteroskedasticity by construction.

Language: Stata
Requires: Stata version 13
Keywords: DPD; serial correlation; panel data (search for similar items in EconPapers)
Date: 2024-08-31
Note: This module should be installed from within Stata by typing "ssc install xtdpdserial". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtdpdserial.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdserial.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lxtdpdserial.mlib Mata object library (application/x-stata)

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