plm (version 0.3-2)

pwtest: 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, data, effect = c("individual","time"), index = NULL, ...)

Arguments

x

an object of class "formula",

data

a data.frame

effect

one of "individual" or "time"

index

the index of the data.frame,

...

further arguments.

Value

• An object of class "htest".

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 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 T-asymptotics and has power against time effects and, more generally, against cross-sectional correlation.

References

Wooldridge, J.M. (2002) Econometric analysis of cross-section and panel data, MIT Press, 10.4.4., page 264.

See Also

pbltest, pbgtest, pdwtest for tests for serial correlation in panel models. plmtest for tests for random effects.

Examples

data("Produc", package="Ecdat")
pwtest(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc)