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Serial Correlation and the Fixed Effects Model
Abstract
This paper generalizes the Durbin-Watson type statistics to test the OLS residuals from the fixed effects model for serial independence. Also generalized are the tests proposed by Sargan and Bhargava for the hypothesis that the residuals form a random walk. A method for efficient estimation of the parameters is also developed. Finally, an earnings function is estimated using the Michigan Survey of Income Dynamics in order to illustrate the uses of the tests and the estimation procedures developed in this paper.
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Citations
Cited by
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Metadata
- Authors
- Bhargava, A., Franzini, L., & Narendranathan, W.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1982-10
- Volume
- 49
- Issue
- 4
- Pages
- 533
- ISSN
- 0034-6527 (ISSN-L)
- OpenAlex
- W2021695593
- Cited by
- 857
- References
- 0
- FWCI
- 2.90
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Serial Correlation and the Fixed Effects Model. https://app.cochat.ai/papers/10.2307/2297285
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- Bhargava, A., Franzini, L., & Narendranathan, W. (1982). Serial Correlation and the Fixed Effects Model. The Review of Economic Studies. https://doi.org/10.2307/2297285
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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.
