Baltagi and Li Serial Dependence Test For Random Effects Models

Description

Baltagi and Li (1995)'s Lagrange multiplier test for AR(1) or MA(1) idiosyncratic errors in panel models with random effects.

Usage

pbltest(x, data, alternative = c("twosided","onesided"), index = NULL, ...)

Arguments

Details

This is a Lagrange multiplier test for the null of no serial correlation, against the alternative of either an AR(1) or an MA(1) process, in the idiosyncratic component of the error term in a random effects panel model (as the analytical expression of the test turns out to be the same under both alternatives, see Baltagi and Li (1995, 1998)). The alternative argument, defaulting to twosided, allows testing for positive serial correlation only, if set to onesided.

Value

An object of class "htest".

Author(s)

Giovanni Millo

References

Baltagi, B.H. and Li, Q. (1995) Testing AR(1) against MA(1) disturbances in an error component model, Journal of Econometrics 68, pp. 133–151.

Baltagi, B.H. and Li, Q. (1997) Monte Carlo results on pure and pretest estimators of an error components model with autocorrelated disturbances, Annales d'economie et de statistique 48, pp. 69–82.

See Also

pdwtest, bgtest, pbsytest, pwartest and pwfdtest for other serial correlation tests for panel models.

Examples

data("Grunfeld", package = "plm")
pbltest(inv ~ value + capital, data = Grunfeld)

Results