*! version 1.0 24apr2019
help xtserialpm

Title

xtserialpm --

Jochmans (2019) test for serial correlation in panel-data models

Syntax

xtserialpm depvar [indepvars] [if] [in] , center

Model
centre Specifies that a centered covariance matrix should be used

Description

xtserialpm performs 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. Unbalanced data is allowed.

Saved results

xtserialpm saves the following in r():

Scalars

r(stat) the test statistic

r(df) degrees of freedom

r(p) p-value

References

Jochmans, K. (2019). Testing for Correlation in Error-Component Models.
Cambridge Working Paper in Economics 19/10.

Jochmans, K. and V. Verardi (2019). xtserialpm: A portmanteau test for serial correlation in a linear panel model.
Mimeo.

Authors

Koen Jochmans, University of Cambridge; and Vincenzo Verard, FNRS-UNamur

Also see

Help: xtserial (if installed)

Help: xtistest (if installed)