pwtest {plm} | R Documentation |
Semi-parametric test for the presence of (individual or time) unobserved effects in panel models.
pwtest(x,...) ## S3 method for class 'panelmodel': pwtest(x, ...) ## S3 method for class 'formula': pwtest(x, data, ...)
x |
an object of class "formula" , |
data |
a data.frame , |
... |
further arguments passed to plm . |
This semi-parametric test checks the null hypothesis of zero correlation between errors of the same group. Therefore it has power both against individual effects and, more generally, any kind of serial correlation.
The test relies on N-asymptotics. It is valid under error heteroskedasticity and departures from normality.
The above is valid if effect="individual"
, which is the most
likely usage. If effect="time"
, symmetrically, the test relies on
T-asymptotics and has power against time effects and, more generally,
against cross-sectional correlation.
An object of class "htest"
.
Giovanni Millo
Wooldridge, J.M. (2002) Econometric analysis of cross-section and panel data, MIT Press, 10.4.4., page 264.
pbltest
, pbgtest
, pdwtest
,
pbsytest
, pwartest
, pwfdtest
for tests for serial correlation in panel models. plmtest
for tests for random effects.
data("Produc", package="Ecdat") pwtest(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc)