pbltest {plm} | R Documentation |
Baltagi and Li (1995)'s Lagrange multiplier test for AR(1) or MA(1) idiosyncratic errors in panel models with random effects.
pbltest(x, data, alternative = c("twosided","onesided"), index = NULL, ...)
x |
a model formula, |
data |
a data.frame , |
alternative |
one of "twosided" ,
"onesided" . Selects either H_A: rho neq 0 or H_A: rho 0
(i.e., the Normal or the Chi-squared version of the test), |
index |
the index of the data.frame , |
... |
further arguments. |
This is a Lagrange multiplier test for the null of no serial
correlation, against the alternative of either an AR(1) or an 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,
1998)). 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.H. and Li, Q. (1995) Testing AR(1) against MA(1) disturbances in an error component model, Journal of Econometrics 68, p.133-151.
Baltagi, B.H. and 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, p.69-82.
pdwtest
, bgtest
,
pbsytest
, pwartest
and pwfdtest
for other serial correlation tests for panel models.
data("Grunfeld", package="plm") pbltest(inv ~ value + capital, data = Grunfeld)