Durbin–Watson Test for Panel Models

Description

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

Usage

pdwtest(x, ...)
## S3 method for class 'panelmodel'
pdwtest(x, ...)
## S3 method for class 'formula'
pdwtest(x, data, ...)

Arguments

Details

This Durbin–Watson 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 dw test (using dwtest 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. The function takes the demeaned data, estimates the model and calls dwtest.

Value

An object of class "htest".

Author(s)

Giovanni Millo

References

Baltagi, B.H. (2005) Econometric Analysis of Panel Data, 3rd. ed., Wiley, p. 98.

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

See Also

pbgtest for the analogous Breusch–Godfrey test, dwtest 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")
pdwtest(g)
pdwtest(g, alternative="two.sided")
## formula interface
pdwtest(inv ~ value + capital, data=Grunfeld, model="random")