pbltest function

Baltagi and Li Serial Dependence Test For Random Effects Models

\insertCite BALT:LI:95;textualplm's Lagrange multiplier test for AR(1) or MA(1) idiosyncratic errors in panel models with random effects.

pbltest(x, ...)

## S3 method for class 'formula'
pbltest(x, data, alternative = c("twosided", "onesided"), index = NULL, ...)

## S3 method for class 'plm'
pbltest(x, alternative = c("twosided", "onesided"), ...)

Arguments

• x: a model formula or an estimated random--effects model of class plm ,
• ...: further arguments.
• data: for the formula interface only: 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,

Returns

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 a 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, \insertCite @see @BALT:LI:95 and @BALT:LI:97plm. The alternative argument, defaulting to twosided, allows testing for positive serial correlation only, if set to onesided.

Examples

data("Grunfeld", package = "plm")

# formula interface
pbltest(inv ~ value + capital, data = Grunfeld)

# plm interface
re_mod <- plm(inv ~ value + capital, data = Grunfeld, model = "random")
pbltest(re_mod)
pbltest(re_mod, alternative = "onesided")

References

\insertRef BALT:LI:95plm

\insertRef BALT:LI:97plm

See Also

pdwtest(), pbnftest(), pbgtest(), pbsytest(), pwartest() and pwfdtest() for other serial correlation tests for panel models.

Author(s)

Giovanni Millo