Test of serial correlation for (the idiosyncratic component of) the errors in panel models.
Usage
pdwtest(x, ...)
## S3 method for class 'panelmodel'
pdwtest(x, ...)
## S3 method for class 'formula'
pdwtest(x, data, ...)
Arguments
x
an object of class "panelmodel" or of class
"formula",
data
a data.frame,
...
further arguments to be passed on to dwtest.
Details
This Durbin–Watson test uses the auxiliary model on (quasi-)demeaned data taken from a model of class plm which may be a pooling (the default), random or within model. It performs a dw test (using dwtest from package lmtest) on the residuals of the (quasi-)demeaned model, which should be serially uncorrelated under the null of no serial correlation in idiosyncratic errors. The function takes the demeaned data, estimates the model and calls dwtest.
Value
An object of class "htest".
Author(s)
Giovanni Millo
References
Baltagi, B.H. (2005) Econometric Analysis of Panel Data, 3rd. ed., Wiley, p. 98.
Wooldridge, J.M. (2002) Econometric Analysis of Cross-Section and Panel Data, MIT Press, p. 288.
See Also
pbgtest for the analogous Breusch–Godfrey
test, dwtest for the Breusch–Godfrey test for serial
correlation in the linear model. pbltest,
pbsytest, pwartest and pwfdtest for other serial correlation tests for panel models.
Examples
data("Grunfeld", package = "plm")
g <- plm(inv ~ value + capital, data = Grunfeld, model="random")
pdwtest(g)
pdwtest(g, alternative="two.sided")
## formula interface
pdwtest(inv ~ value + capital, data=Grunfeld, model="random")