This semi-parametric test checks the null hypothesis of zero
correlation between errors of the same group. Therefore it has power
both against individual effects and, more generally, any kind of
serial correlation.
The test relies on N-asymptotics. It is valid under error
heteroskedasticity and departures from normality.
The above is valid if effect="individual", which is the most
likely usage. If effect="time", symmetrically, the test relies on
T-asymptotics and has power against time effects and, more generally,
against cross-sectional correlation.
References
Wooldridge, J.M. (2002) Econometric analysis of cross-section and panel data,
MIT Press, 10.4.4., page 264.
See Also
pbltest, pbgtest, pdwtest for tests for serial
correlation in panel models. plmtest for tests for random
effects.