A joint test for serial correlation and random individual effects

Badi H. Baltagi; Qi Li

doi:10.1016/0167-7152(91)90156-L

A joint test for serial correlation and random individual effects

Badi H. Baltagi, Qi Li

Research output: Contribution to journal › Article › peer-review

46 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 language	English (US)
Pages (from-to)	277-280
Number of pages	4
Journal	Statistics and Probability Letters
Volume	11
Issue number	3
DOIs	https://doi.org/10.1016/0167-7152(91)90156-L
State	Published - Mar 1991
Externally published	Yes

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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10.1016/0167-7152(91)90156-L

Cite this

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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.",

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AB - 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.

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KW - Lagrange multiplier test

KW - error components

KW - serial correlation

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A joint test for serial correlation and random individual effects

Abstract

Keywords

ASJC Scopus subject areas

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