pwartest(x, ...)
"pwartest"(x, ...)
"pwartest"(x, data, ...)
formula
or of class panelmodel
,data.frame
,linearHypothesis
or to vcovHC
."htest"
.
pwartest
estimates the within
model and retrieves
residuals, then estimates an AR(1) pooling
model on them. The test statistic is obtained by applying linearHypothesis()
to the latter model to test the above restriction on $\delta$, setting the covariance matrix to vcovHC
with the option method="arellano"
to control for serial correlation.
Unlike the pbgtest
and pdwtest
, this test does not rely on large--T asymptotics and has therefore good properties in ``short'' panels. Furthermore, it is robust to general heteroskedasticity.
Wooldridge, J.M. (2010) Econometric analysis of cross-section and panel data, 2nd ed., MIT Press, Sec. 10.5.4, pp. 310--312.
pwfdtest
, pdwtest
, pbgtest
, pbltest
,
pbsytest
.
data("EmplUK", package = "plm")
pwartest(log(emp) ~ log(wage) + log(capital), data = EmplUK)
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