A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models
收藏NBER2005-06-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0310
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资源简介：
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.
提供机构：
美国国家经济研究局
创建时间：
2005-06-01
