# pbgtest

##### Breusch--Godfrey Test for Panel Models

Test of serial correlation for (the idiosyncratic component of) the errors in panel models.

- Keywords
- htest

##### Usage

`pbgtest(x, ...)`# S3 method for panelmodel
pbgtest(x, order = NULL, type = c("Chisq", "F"), ...)

# S3 method for formula
pbgtest(
x,
order = NULL,
type = c("Chisq", "F"),
data,
model = c("pooling", "random", "within"),
...
)

##### Arguments

- x
an object of class

`"panelmodel"`

or of class`"formula"`

,- …
further arguments (see

`lmtest::bgtest()`

).- order
an integer indicating the order of serial correlation to be tested for.

`NULL`

(default) uses the minimum number of observations over the time dimension (see also section**Details**below),- type
type of test statistic to be calculated; either

`"Chisq"`

(default) for the Chi-squared test statistic or`"F"`

for the F test statistic,- data
only relevant for formula interface: data set for which the respective panel model (see

`model`

) is to be evaluated,- model
only relevant for formula interface: compute test statistic for model

`pooling`

(default),`random`

, or`within`

. When`model`

is used, the`data`

argument needs to be passed as well,

##### Details

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 WOOL:10;textualplm. 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.

##### Value

An object of class `"htest"`

.

##### Note

The argument `order`

defaults to the minimum number of
observations over the time dimension, while for
`lmtest::bgtest`

it defaults to `1`

.

##### References

BREU:78plm

GODF:78plm

WOOL:02plm

WOOL:10plm

WOOL:13plm Sec. 12.2, pp. 421--422.

##### See Also

For the original test in package lmtest see
`lmtest::bgtest()`

. See `pdwtest()`

for the analogous
panel Durbin--Watson test. See `pbltest()`

, `pbsytest()`

,
`pwartest()`

and `pwfdtest()`

for other serial correlation
tests for panel models.

##### Examples

```
# NOT RUN {
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")
# }
```

*Documentation reproduced from package plm, version 2.2-5, License: GPL (>= 2)*