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Google圖書搜尋
A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models
Atsushi Inoue
Gary Solon
出版
National Bureau of Economic Research
, 2005
URL
http://books.google.com.hk/books?id=iS570AEACAAJ&hl=&source=gbs_api
註釋
We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a conditional Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties.
