Universität zu Köln

Born, Benjamin and Breitung, Joerg (2016). Testing for Serial Correlation in Fixed-Effects Panel Data Models. Econom. Rev., 35 (7). S. 1290 - 1317. PHILADELPHIA: TAYLOR & FRANCIS INC. ISSN 1532-4168

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Abstract

In this article, we propose various tests for serial correlation in fixed-effects panel data regression models with a small number of time periods. First, a simplified version of the test suggested by Wooldridge (2002) and Drukker (2003) is considered. The second test is based on the Lagrange Multiplier (LM) statistic suggested by Baltagi and Li (1995), and the third test is a modification of the classical Durbin Watson statistic. Under the null hypothesis of no serial correlation, all tests possess a standard normal limiting distribution as N tends to infinity and T is fixed. Analyzing the local power of the tests, we find that the LM statistic has superior power properties. Furthermore, a generalization to test for autocorrelation up to some given lag order and a test statistic that is robust against time dependent heteroskedasticity are proposed.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Born, Benjamin UNSPECIFIED UNSPECIFIED UNSPECIFIED Breitung, Joerg UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-266728
DOI:	10.1080/07474938.2014.976524
Journal or Publication Title:	Econom. Rev.
Volume:	35
Number:	7
Page Range:	S. 1290 - 1317
Date:	2016
Publisher:	TAYLOR & FRANCIS INC
Place of Publication:	PHILADELPHIA
ISSN:	1532-4168
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/26672