Wooldridge's Test for Unobserved Effects in Panel Models

Description

Semi-parametric test for the presence of (individual or time) unobserved effects in panel models.

Usage

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

Arguments

Details

This semi-parametric test checks the null hypothesis of zero correlation between errors of the same group. Therefore, it has power both against individual effects and, more generally, any kind of serial correlation.

The test relies on large-N asymptotics. It is valid under error heteroskedasticity and departures from normality.

The above is valid if effect="individual", which is the most likely usage. If effect="time", symmetrically, the test relies on large-T asymptotics and has power against time effects and, more generally, against cross-sectional correlation.

Value

An object of class "htest".

Author(s)

Giovanni Millo

References

Wooldridge, J.M. (2002) Econometric Analysis of Cross-Section and Panel Data, MIT Press, Sec. 10.4.4., page 264.

See Also

pbltest, pbgtest, pdwtest, pbsytest, pwartest, pwfdtest for tests for serial correlation in panel models. plmtest for tests for random effects.

Examples

data("Produc", package = "plm")
pwtest(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc)