pwtest {plm} | R Documentation |
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 'formula'
pwtest(x, data, effect = c("individual", "time"), ...)
## S3 method for class 'panelmodel'
pwtest(x, effect = c("individual", "time"), ...)
Arguments
x |
an object of class |
... |
further arguments passed to |
data |
a |
effect |
the effect to be tested for, one of |
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 large-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
large-T asymptotics and has power against time effects and, more
generally, against cross-sectional correlation.
If the panelmodel interface is used, the inputted model must be a pooling model.
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
pbltest()
, pbgtest()
,
pdwtest()
, pbsytest()
, pwartest()
,
pwfdtest()
for tests for serial correlation in panel models.
plmtest()
for tests for random effects.
Examples
data("Produc", package = "plm")
## formula interface
pwtest(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc)
pwtest(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, effect = "time")
## panelmodel interface
# first, estimate a pooling model, than compute test statistics
form <- formula(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp)
pool_prodc <- plm(form, data = Produc, model = "pooling")
pwtest(pool_prodc) # == effect="individual"
pwtest(pool_prodc, effect="time")