pwtest: Wooldridge's Test for Unobserved Effects in Panel Models
Description
Semi-parametric test for the presence of (individual or time) unobserved effects in panel models.
Usage
pwtest(x,...)
## S3 method for class 'panelmodel':
pwtest(x, ...)
## S3 method for class 'formula':
pwtest(x, data, ...)
Arguments
x
an object of class "formula",
data
a data.frame,
...
further arguments passed to plm.
Value
An object of class "htest".
Details
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.