pbnftest {plm} | R Documentation |
Tests for AR(1) disturbances in panel models.
## S3 method for class 'panelmodel' pbnftest(x, test = c("bnf", "lbi"), ...) ## S3 method for class 'formula' pbnftest(x, data, test = c("bnf", "lbi"), model = c("pooling", "within", "random"), ...)
x |
an object of class |
test |
a character indicating the test to be performed, either |
data |
a |
model |
a character indicating on which type of model the test shall be performed
( |
... |
only relevant for formula interface: further arguments to specify the model to test (arguments passed on to plm()), e.g. |
The default, test = "bnf"
, gives the (modified) BNF statistic, the generalised
Durbin-Watson statistic for panels. For balanced and consecutive panels,
the reference is Bhargava/Franzini/Narendranathan (1982). The modified BNF is given
for unbalanced and/or non-consecutive panels (d1 in formula 16 of Baltagi/Wu (1999)).
test = "lbi"
yields Baltagi–Wu's LBI statistic (Baltagi/Wu (1999)),
the locally best invariant test which is based on the modified BNF statistic.
No specific variants of these tests are available for random effect models. As the within estimator is consistent also under the random effects assumptions, the test for random effect models is performed by taking the within residuals.
No p-values are given for the statistics as their distribution is quite difficult. Bhargava et al. (1982) supply tabulated bounds for p = 0.05 for the balanced case and consecutive case.
For large N, Bhargava et al. (1982) suggest it is sufficient to check whether the BNF statistic is < 2 to test against positive serial correlation.
An object of class "htest"
.
Kevin Tappe
Baltagi, B.H. (2013) Econometric Analysis of Panel Data, 5th ed., John Wiley and Sons, pp. 100–101, 109–110.
Baltagi, B. H. and Wu, P. X. (1999), Unequally spaced panel data regressions with AR(1) disturbances. Econometric Theory, 15(6), pp. 814–823.
Bhargava, A., Franzini, L., and Narendranathan, W. (1982), Serial Correlation and the Fixed Effects Model, Review of Economic Studies, XLIX(4), pp. 533–549.
pdwtest
for the original Durbin–Watson test using (quasi-)demeaned residuals of the panel model
without taking the panel structure into account.
pbltest
, pbsytest
, pwartest
and pwfdtest
for
other serial correlation tests for panel models.
data("Grunfeld", package = "plm") # formula interface, replicate Baltagi/Wu (1999), table 1, test case A: data_A <- Grunfeld[!Grunfeld[["year"]] %in% c("1943", "1944"), ] pbnftest(inv ~ value + capital, data = data_A, model = "within") pbnftest(inv ~ value + capital, data = data_A, test = "lbi", model = "within") # replicate Baltagi (2013), p. 101, table 5.1: re <- plm(inv ~ value + capital, data = Grunfeld, model = "random") pbnftest(re) pbnftest(re, test = "lbi")