Baltagi and Li Serial Dependence Test For Random Effects Models
Baltagi and Li (1995)'s Lagrange multiplier test for AR(1) or MA(1) idiosyncratic errors in panel models with random effects.
pbltest(x, ...) ## S3 method for class 'formula' pbltest(x, data, alternative = c("twosided", "onesided"), index = NULL, ...) ## S3 method for class 'plm' pbltest(x, alternative = c("twosided", "onesided"), ...)
x |
a model formula or an estimated random–effects model of
class |
... |
further arguments. |
data |
for the formula interface only: a |
alternative |
one of |
index |
the index of the |
This is a Lagrange multiplier test for the null of no serial
correlation, against the alternative of either an AR(1) or a MA(1)
process, in the idiosyncratic component of the error term in a
random effects panel model (as the analytical expression of the
test turns out to be the same under both alternatives,
(see Baltagi and Li 1995 and Baltagi and Li 1997). The
alternative
argument, defaulting to twosided
, allows testing
for positive serial correlation only, if set to onesided
.
An object of class "htest"
.
Giovanni Millo
Baltagi B, Li Q (1995). “Testing AR(1) Against MA(1) Disturbances in an Error Component Model.” Journal of Econometrics, 68, 133–151.
Baltagi B, Li Q (1997). “Monte Carlo Results on Pure and Pretest Estimators of an Error Components Model With Autocorrelated Disturbances.” Annales d'Economie et de Statistique, 48, 69–82.
pdwtest()
, bgtest
,
pbsytest()
, pwartest()
and
pwfdtest()
for other serial correlation tests for
panel models.
data("Grunfeld", package = "plm") # formula interface pbltest(inv ~ value + capital, data = Grunfeld) # plm interface re_mod <- plm(inv ~ value + capital, data = Grunfeld, model = "random") pbltest(re_mod) pbltest(re_mod, alternative = "onesided")
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