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PSC Fall 2014 Newsletter now available

Martha Bailey and Nicolas Duquette win Cole Prize for article on War on Poverty

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Monday, Nov 3
Melvin Stephens

A Portmanteau test for serially correlated errors in fixed effects models

Archived Abstract of Former PSC Researcher

Inoue, A., and Gary Solon. 2006. "A Portmanteau test for serially correlated errors in fixed effects models." Economic Theory, 22(5): 835-851.

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties.

DOI:10.1017/S0266466606060385 (Full Text)

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