pbgtest {plm} | R Documentation |
Test of serial correlation for (the idiosyncratic component of) the errors in panel models.
pbgtest(x,...) ## S3 method for class 'panelmodel' pbgtest(x, order = NULL, type = c("Chisq", "F"), ...) ## S3 method for class 'formula' pbgtest(x, order = NULL, type = c("Chisq", "F"), data, model=c("pooling", "random", "within"), ...)
x |
an object of class |
order |
an integer indicating the order of serial correlation to be tested for. |
type |
type of test statistic to be calculated; either |
data |
only relevant for formula interface: data set for which the respective panel model (see |
model |
only relevant for formula interface: compute test statistic for model |
... |
further arguments (see |
This Lagrange multiplier test uses the auxiliary model on
(quasi-)demeaned data taken from a model of class plm
which may be a pooling
(default for formula interface), random
or within
model. It performs a Breusch–Godfrey test (using bgtest
from package lmtest
) on the residuals of the (quasi-)demeaned model, which should be serially uncorrelated under the null of no serial correlation in idiosyncratic
errors, as illustrated in Wooldridge (2002/2010). The function takes the demeaned data, estimates the model and calls bgtest
.
Unlike most other tests for serial correlation in panels, this one allows to choose the order of correlation to test for.
An object of class "htest"
.
The argument order
defaults to the minimum number of observations over the time dimension, while for lmtest::bgtest
it defaults to 1
.
Giovanni Millo
Breusch, T. (1978), “Testing for autocorrelation in dynamic linear models”, Australian Economic Papers, 17, pp. 334–355.
Godfrey, L. (1978), “Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables”, Econometrica, 46, pp. 1293–1301.
Wooldridge, J.M. (2002) Econometric Analysis of Cross-Section and Panel Data, MIT Press, pp. 288–291.
Wooldridge, J.M. (2010) Econometric analysis of cross-section and Panel Data, 2nd ed., MIT Press, pp. 328–334.
Wooldridge, J.M. (2013) Introductory Econometrics: A Modern Approach, 5th ed., South-Western (Cengage Learning), Sec. 12.2, pp. 421–422.
pdwtest
for the analogous panel Durbin–Watson test, bgtest
for the Breusch–Godfrey test for serial correlation in the linear model. pbltest
, pbsytest
, pwartest
and pwfdtest
for other serial correlation tests for panel models.
For the original test in package lmtest
see bgtest
.
data("Grunfeld", package = "plm") g <- plm(inv ~ value + capital, data = Grunfeld, model = "random") # panelmodel interface pbgtest(g) pbgtest(g, order = 4) # formula interface pbgtest(inv ~ value + capital, data = Grunfeld, model = "random") # F test statistic (instead of default type="Chisq") pbgtest(g, type="F") pbgtest(inv ~ value + capital, data = Grunfeld, model = "random", type="F") # same output as lmtest::bgtest [see Note] pbgtest(g, order = 1) lmtest::bgtest(g, order = 1)