pbltest: Baltagi and Li Serial Dependence Test For Random Effects Models
Description
Baltagi and Li (1995)'s Lagrange multiplier test for AR(1) or MA(1) idiosyncratic errors in panel models with random effects.
Usage
pbltest(x, data, alternative = c("twosided","onesided"), index = NULL, ...)
Arguments
x
a model formula,
data
a data.frame,
alternative
one of "twosided",
"onesided". Selects either $H_A: \rho \neq 0$ or $H_A: \rho 0$
(i.e., the Normal or the Chi-squared version of the test),
index
the index of the data.frame,
...
further arguments.
Value
An object of class "htest".
Details
This is a Lagrange multiplier test for the null of no serial
correlation, against the alternative of either an AR(1) or an MA(1) process, in the idiosyncratic component of the error term in a random effects panel model (as the analytical expression of the test turns out to be the same under both alternatives, see Baltagi and Li (1995, 1998)). The alternative argument, defaulting to twosided, allows testing for positive serial correlation only, if set to onesided.
References
Baltagi, B.H. and Li, Q. (1995) Testing AR(1) against MA(1)
disturbances in an error component model, Journal of Econometrics68, pp. 133--151.
Baltagi, B.H. and Li, Q. (1997) Monte Carlo results on pure and
pretest estimators of an error components model with autocorrelated disturbances, Annales d'economie et de statistique48, pp. 69--82.