A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models

Atsushi Inoue, Gary Solon

NBER Technical Working Paper No. 310
Issued in June 2005
NBER Program(s):   TWP

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.

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