pbltest

0th

Percentile

Baltagi and Li Serial Dependence Test For Random Effects Models

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

Keywords
htest
Usage
pbltest(x, ...)

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

# S3 method for 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,

Details

This is a Lagrange multiplier test for the null of no serial correlation, against the alternative of either an AR(1) or an 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, @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.

Value

An object of class "htest".

References

BALT:LI:95plm

BALT:LI:97plm

See Also

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

Aliases
  • pbltest
  • pbltest.formula
  • pbltest.plm
Examples
# NOT RUN {
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")

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

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