xtserialpm: A portmanteau test for serial correlation in a linear panel model

We introduce the command xtserialpm to perform the portmanteau test developed in Jochmans (2019). The procedure tests for serial correlation in the errors of a linear panel model after estimation of the regression coefficients by the within-group estimator. The test is different from the test of Inoue and Solon (2006) that is performed by xtistest (Wursten 2018) in that it allows for heteroskedasticity. In simulations documented below, xtserialpm is found to provide a much more powerful test than xtistest. xtserialpm can deal with unbalanced panel data.

Keywords

xtserialpm, heteroskedasticity, fixed-effect model, portmanteau test, serial correlation, short panel data, unbalanced panelexponential regression, gravity model, panel data, two-way fixed effects

Publisher DOI

https://doi.org/10.17863/CAM.40108

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Sponsorship

European Commission Horizon 2020 (H2020) ERC (715787)

Collections

Cambridge Working Papers in Economics (CWPE)