| pwartest {plm} | R Documentation |
Wooldridge Test for AR(1) Errors in FE Panel Models
Description
Test of serial correlation for (the idiosyncratic component of) the errors in fixed–effects panel models.
Usage
pwartest(x, ...)
## S3 method for class 'formula'
pwartest(x, data, ...)
## S3 method for class 'panelmodel'
pwartest(x, ...)
Arguments
x |
an object of class |
... |
further arguments to be passed on to |
data |
a |
Details
As Wooldridge (2010), Sec. 10.5.4 observes, under
the null of no serial correlation in the errors, the residuals of a
FE model must be negatively serially correlated, with
cor(\hat{u}_{it}, \hat{u}_{is})=-1/(T-1) for each
t,s. He suggests basing a test for this null hypothesis on a
pooled regression of FE residuals on their first lag:
\hat{u}_{i,t} = \alpha + \delta \hat{u}_{i,t-1} +
\eta_{i,t}. Rejecting the restriction \delta = -1/(T-1)
makes us conclude against the original null of no serial
correlation.
pwartest estimates the within model and retrieves residuals,
then estimates an AR(1) pooling model on them. The test statistic
is obtained by applying a F test 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.
Value
An object of class "htest".
Author(s)
Giovanni Millo
References
Wooldridge JM (2002). Econometric Analysis of Cross–Section and Panel Data. MIT Press.
Wooldridge JM (2010). Econometric Analysis of Cross–Section and Panel Data, 2nd edition. MIT Press.
See Also
pwfdtest(), pdwtest(), pbgtest(), pbltest(),
pbsytest().
Examples
data("EmplUK", package = "plm")
pwartest(log(emp) ~ log(wage) + log(capital), data = EmplUK)
# pass argument 'type' to vcovHC used in test
pwartest(log(emp) ~ log(wage) + log(capital), data = EmplUK, type = "HC3")