plm (version 1.6-5)

plmtest: Lagrange Multiplier Tests for Panel Models

Description

Test of individual and/or time effects for panel models.

Usage

plmtest(x, ...)
"plmtest"(x, effect = c("individual", "time", "twoways"), type = c("honda", "bp", "ghm", "kw"), ...)
"plmtest"(x, data, ..., effect = c("individual", "time", "twoways"), type = c("honda", "bp", "ghm", "kw"))

Arguments

x

an object of class "plm" or a formula of class "formula",

data

a data.frame,

effect

a character string indicating which effects are tested: individual effects ("individual"), time effects ("time") or both ("twoways"),

type

a character string indicating the test to be performed:

• "honda" (default) for Honda (1985),
• "bp" for Breusch/Pagan (1980),
• "kw" for King/Wu (1997), or
• "ghm" for Gourieroux/Holly/Monfort (1982);

For unbalanced panel data sets, the respective unbalanced version of the tests are computed,

...

further arguments passed to plmtest.

Value

An object of class "htest".

Details

These Lagrange multiplier tests use only the residuals of the pooling model. The first argument of this function may be either a pooling model of class plm or an object of class formula describing the model. For inputted within (fixed effects) or random effects models, the corresponding pooling model is calculated internally first as the tests are based on the residuals of the pooling model.

The bp test for unbalanced panels was derived in Baltagi/Li (1990), the kw test for unbalanced panels in Baltagi/Chang/Li (1998). The ghm test and the kw test were extended to two-way effects in Baltagi/Chang/Li (1992). For a concise overview of all these statistics see Baltagi (2013), Sec. 4.2, pp. 68--76 (for balanced panels) and Sec. 9.5, pp. 200--203 (for unbalanced panels).

References

Baltagi, B. H. (2013) Econometric Analysis of Panel Data, 5th edition, Sec. 4.2, pp. 68--76 and Sec. 9.5, pp. 200--203.

Baltagi, B. H./Li, Q. (1990) A lagrange multiplier test for the error components model with incomplete panels, Econometric Reviews, 9(1), pp. 103--107.

Baltagi B. H./Chang, Y./Li, Q. (1992) Monte Carlo results on several new and existing tests for the error component model, Journal of Econometrics, 54(1-3), pp. 95--120.

Baltagi B. H./Chang, Y./Li, Q. (1998) Testing for random effects using unbalanced panel data, Advances in Econometrics, 13, pp. 1--20.

Breusch, T. S./Pagan, A. R. (1980) The Lagrange multiplier test and its applications to model specification in econometrics, Review of Economic Studies, 47(1), pp. 239--253.

Gourieroux, C./Holly, A./Monfort, A. (1982) Likelihood ratio test, Wald test, and Kuhn--Tucker test in linear models with inequality constraints on the regression parameters, Econometrica, 50(1), pp. 63--80.

Honda, Y. (1985) Testing the error components model with non--normal disturbances, Review of Economic Studies, 52(4), pp. 681--690.

King, M. L./Wu, P. X. (1997) Locally optimal one--sided tests for multiparameter hypotheses, Econometric Reviews, 16(2), pp. 131--156.

See Also

pFtest for individual and/or time effects tests based on the within model.

Examples

data("Grunfeld", package = "plm")
g <- plm(inv ~ value + capital, data = Grunfeld, model = "pooling")
plmtest(g)
plmtest(g, effect="time")
plmtest(inv ~ value + capital, data = Grunfeld, type = "honda")
plmtest(inv ~ value + capital, data = Grunfeld, type = "bp")
plmtest(inv ~ value + capital, data = Grunfeld, type = "bp",  effect = "twoways")
plmtest(inv ~ value + capital, data = Grunfeld, type = "ghm", effect = "twoways")
plmtest(inv ~ value + capital, data = Grunfeld, type = "kw",  effect = "twoways")

Grunfeld_unbal <- Grunfeld[1:(nrow(Grunfeld)-1), ] # create an unbalanced panel data set
g_unbal <- plm(inv ~ value + capital, data = Grunfeld_unbal, model = "pooling")
plmtest(g_unbal) # unbalanced version of test is indicated in output