Testing for serial correlation in linear panel-data models

被引：807

作者：

Drukker, David M. ^{[1
]}

机构：

[1] Stata Corp, College Stn, TX 77845 USA

来源：

STATA JOURNAL | 2003年 / 3卷 / 02期

关键词：

st0039; panel data; serial correlation; specification tests;

D O I：

10.1177/1536867X0300300206

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

Because serial correlation in linear panel-data models biases the standard errors and causes the results to be less efficient, researchers need to identify serial correlation in the idiosyncratic error term in a panel-data model. A new test for serial correlation in random-or fixed-effects one-way models derived by Wooldridge (2002) is attractive because it can be applied under general conditions and is easy to implement. This paper presents simulation evidence that the new Wooldridge test has good size and power properties in reasonably sized samples.

引用

页码：168 / 177

页数：10