pdwtest {plm} | R Documentation |
Test of serial correlation for (the idiosyncratic component of) the errors in panel models.
pdwtest(x, ...) ## S3 method for class 'panelmodel': pdwtest(x, ...) ## S3 method for class 'formula': pdwtest(x, data, ...)
x |
an object of class "panelmodel" or of class
"formula" , |
data |
a data.frame , |
... |
further arguments to be passed on to dwtest . |
This Durbin–Watson test uses the auxiliary model on (quasi-)demeaned
data taken from a model of class plm
which may be a
pooling
(the default), random
or within
model. It
performs a dw test (using dwtest
from package lmtest
) on
the residuals of the (quasi-)demeaned model, which should be serially
uncorrelated under the null of no serial correlation in idiosyncratic
errors. The function takes the demeaned data, estimates the model and
calls dwtest
.
An object of class "htest"
.
Giovanni Millo
Baltagi, B.H. (2005) Econometric analysis of panel data, Wiley, p.98.
Wooldridge, J.M. (2002) Econometric analysis of cross-section and panel data, MIT Press, page 288.
pbgtest
for the analogous Breusch–Godfrey
test, dwtest
for the Breusch–Godfrey test for serial
correlation in the linear model. pbltest
,
pbsytest
, pwartest
and pwfdtest
for other serial correlation tests for panel models.
data("Grunfeld", package="plm") g <- plm(inv ~ value + capital, data = Grunfeld, model="random") pdwtest(g) pdwtest(g, alternative="two.sided") ## formula interface pdwtest(inv ~ value + capital, data=Grunfeld, model="random")