| plmtest {plm} | R Documentation |
Test of individual and/or time effects for panel models.
plmtest(x, ...)
## S3 method for class 'plm'
plmtest(x, effect = c("individual", "time", "twoways"),
type = c("honda","bp", "ghm", "kw"), ...)
## S3 method for class 'formula'
plmtest(x, data, ..., effect = c("individual", "time", "twoways"),
type = c("honda","bp", "ghm", "kw"))
x |
an object of class |
data |
a |
effect |
a character string indicating which effects are tested:individual effects ( |
type |
a character string indicating the test to be
computed : |
... |
further arguments passed to |
These Lagrange multiplier tests use only the residuals of the pooling model. The main argument of this function may be either a pooling model of class plm or an object of class formula.
An object of class "htest".
Yves Croissant
Breusch, T.S. and Pagan, A.R. (1980) The Lagrange multiplier test and its applications to model specification in econometrics, Review of Economic Studies, 47, pp.239–253.
Gourieroux, C., Holly, A. and Monfort, A. (1982) Likelihood ratio test, Wald test, and Kuhn–Tucker test in linear models with inequality constraints on the regression parameters, Econometrica, 50, pp.63–80.
Honda, Y. (1985) Testing the error components model with non–normal disturbances, Review of Economic Studies, 52, pp.681–690.
King, M.L. and Wu, P.X. (1997) Locally optimal one–sided tests for multiparameter hypotheses, Econometric Reviews, 33, pp.523–529.
pFtest for individual and/or time effects tests based on the within model.
data("Grunfeld", package = "plm")
g <- plm(inv ~ value + capital, data = Grunfeld, model = "pooling")
plmtest(g)
plmtest(g, effect="time")
plmtest(inv ~ value + capital, data = Grunfeld, type = "honda")
plmtest(inv ~ value + capital, data = Grunfeld, type="ghm",effect="twoways")
plmtest(inv ~ value + capital, data = Grunfeld, type="kw",effect="twoways")