Breusch–Godfrey Test for Panel Models

Description

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

Usage

pbgtest(x,...)
## S3 method for class 'panelmodel'
pbgtest(x, order = NULL, ...)
## S3 method for class 'formula'
pbgtest(x, ..., order = NULL)

Arguments

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 (the default), 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). 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".

Author(s)

Giovanni Millo

References

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. 1293–1302.

Wooldridge, J.M. (2002) Econometric Analysis of Cross-Section and Panel Data, MIT Press, p. 288.

See Also

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.

Examples

data("Grunfeld", package = "plm")
g <- plm(inv ~ value + capital, data = Grunfeld, model = "random")
pbgtest(g)
pbgtest(g, order = 4)

## formula interface
pbgtest(inv ~ value + capital, data = Grunfeld, model = "random")