n76175SE Academic Article uri icon

abstract

  • This paper derives a simple lagrange multiplier (LM) test which jointly tests the presence of random individual effects and serial correlation. This test is an extension of the Breusch and Pagan (1980) LM test. It is computationally simple and requires only the OLS residuals. It should prove useful for panel data applications where both serial correlation and random individual effects are suspect. 1991.

published proceedings

  • Statistics & Probability Letters

author list (cited authors)

  • Baltagi, B. H., & Li, Q. i.

publication date

  • January 1, 1991 11:11 AM