plmtest {plm} | R Documentation |
Test of individual and/or time effects for panel models.
plmtest(x, ...) ## S3 method for class 'plm': plmtest(x, effect = c("individual", "time", "twoways"), type = c("honda","bp", "ghm", "kw"), ...) ## S3 method for class 'formula': plmtest(x, data, ..., effect = c("individual", "time", "twoways"), type = c("honda","bp", "ghm", "kw"))
x |
an object of class "plm" , |
data |
a data.frame , |
effect |
a character string indicating which effects are tested :
individual effects ("individual" ), time effects ("time" ) or both ("twoways" ), |
type |
a character string indicating the test to be
computed : "bp" for Breush-Pagan (1980), "ghm" for Gourieroux, Holly and
Monfort (1982), "honda" for Honda (1985) or "kw" for
King and Wu (1997), |
... |
further arguments passed to plm . |
These Lagrange multiplier tests use only the residuals of the pooling
model. The main argument of this function may be either a pooling
model of class plm
or an object of class formula
.
An object of class "htest"
.
Yves Croissant
Breusch, T.S. and Pagan, A.R. (1980) The Lagrange multiplier test and its applications to model specification in econometrics, Review of Economic Studies, 47, pp.239–253.
Gourieroux, C., Holly, A. and Monfort, A. (1982) Likelihood ratio test, Wald test, and Kuhn–Tucker test in linear models with inequality constraints on the regression parameters, Econometrica, 50, pp.63–80.
Honda, Y. (1985) Testing the error components model with non–normal disturbances, Review of Economic Studies, 52, pp.681–690.
King, M.L. and Wu, P.X. (1997) Locally optimal one–sided tests for multiparameter hypotheses, Econometric Reviews, 33, pp.523–529.
pFtest
for individual and/or time effects tests based on
the within model.
data("Grunfeld", package="plm") g <- plm(inv~value+capital, data = Grunfeld, model = "pooling") plmtest(g) plmtest(g, effect="time") plmtest(inv~value+capital, data = Grunfeld, type = "honda") plmtest(inv~value+capital, data=Grunfeld, type="ghm",effect="twoways") plmtest(inv~value+capital, data=Grunfeld, type="kw",effect="twoways")