Testing AR(1) against MA(1) disturbances in an error component model
作者： Badi H. Baltagi , Qi Li
DOI: 10.1016/0304-4076(94)01646-H
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摘要: This paper derives three LM statistics for an error component model with first-order serially correlated errors. The first statistic jointly tests zero serial correlation and random individual effects, the second assuming fixed third effects. In all cases, corresponding is same whether alternative AR(1) or MA(1). also two extensions of Burke, Godfrey, Termayne (1990) test from time-series to panel data literature. null disturbances against MA(1) disturbances, in model. These are computationally simple requiring only OLS within residuals. small sample performance these studied using Monte Carlo experiments.
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