1 option
A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models / Atsushi Inoue, Gary Solon.
- Format:
- Book
- Author/Creator:
- Inoue, Atsushi.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0310.
- NBER technical working paper series no. t0310
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2005.
- Summary:
- 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.
- Notes:
- Print version record
- June 2005.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.