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Testing for Serial Correlation in Linear Panel-data Models
Open accessAbstract
Because serial correlation in linear panel-data models biases the standard errors and causes the results to be less efficient, researchers need to identify serial correlation in the idiosyncratic error term in a panel-data model. A new test for serial correlation in random- or fixed-effects one-way models derived by Wooldridge (2002) is attractive because it can be applied under general conditions and is easy to implement. This paper presents simulation evidence that the new Wooldridge test has good size and power properties in reasonably sized samples.
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Research works printed but not linked: 4
- Baltagi B. H., 2001, Econometric Analysis of Panel Data.
- 10.1016/0304-4076(94)01646-H · DOI · Paper page
- 10.1017/S0266466699156020 · DOI · Paper page
- Wooldridge J. M., 2002, Econometric Analysis of Cross Section and Panel Data.
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Metadata
- Authors
- Drukker, D. M.
- Venue
- The Stata Journal: Promoting communications on statistics and Stata
- Publisher
- SAGE Publications
- Published
- 2003-06
- Volume
- 3
- Issue
- 2
- Pages
- 168-177
- ISSN
- 1536-867X (ISSN-L)
- 1536-8734
- OpenAlex
- W1570396618
- Cited by
- 1,569
- References
- 0
- FWCI
- 26.25
- Type
- journal article
- Language
- en
- Open access
- green
- Licence
- journals.sagepub.com/page/policies/text-and-data-mining-license (tdm)
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
