A joint test for serial correlation and random individual effects

Research output: Contribution to journalArticle

33 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)277-280
Number of pages4
JournalStatistics and Probability Letters
Volume11
Issue number3
DOIs
StatePublished - Mar 1991
Externally publishedYes

Keywords

  • Breusch-Pagan test
  • Lagrange multiplier test
  • error components
  • serial correlation

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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