Document Type
Working Paper
Date
2008
Embargo Period
6-28-2012
Keywords
Panel data, heteroskedasticity, serial correlation, Lagrange Multiplier tests, likelihood ratio, random effects
Language
English
Disciplines
Econometrics
Description/Abstract
This paper considers a panel data regression model with heteroskedastic as well as serially correlated disturbances, and derives a joint LM test for homoskedasticity and no first order serial correlation. The restricted model is the standard random individual error component model. It also derives a conditional LM test for homoskedasticity given serial correlation, as well as a conditional LM test for no first order serial correlation given heteroskedasticity, all in the context of a random effects panel data model. Monte Carlo results show that these tests, along with their likelihood ratio alternatives, have good size and power under various forms of heteroskedasticity including exponential and quadratic functional forms.
Recommended Citation
Baltagi, Badi H.; Jung, Byoung Cheol; and Song, Seuck Heun, "Testing for Heteroskedasticity and Serial Correlation in a Random Effects Panel Data Model" (2008). Center for Policy Research. Paper 56.
http://surface.syr.edu/cpr/56
Source
Metadata from RePEc
Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.
Additional Information
Harvest from RePEc at http://repec.org