pwtest {plm} | R Documentation |
Semi-parametric test for the presence of (individual or time) unobserved effects in panel models.
pwtest(x, data, effect = c("individual","time"), index = NULL, ...)
x |
an object of class "formula" , |
data |
a data.frame |
effect |
one of "individual" or "time" |
index |
the index of the data.frame , |
... |
further arguments. |
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"
.
Wooldridge, J.M. (2002) Econometric analysis of cross-section and panel data, MIT Press, 10.4.4., page 264.
pbltest
, pbgtest
, pdwtest
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)