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A portmanteau test for serial correlation in a linear panel model
The Stata Journal: Promoting communications on statistics and Stata ( IF 3.2 ) Pub Date : 2020-03-24 , DOI: 10.1177/1536867x20909695
Koen Jochmans 1 , Vincenzo Verardi 2
Affiliation  

We introduce the command xtserialpm to perform the portmanteau test developed in Jochmans (2019, Cambridge Working Papers in Economics No. 1993, University of Cambridge, Faculty of Economics). The procedure tests for serial correlation of arbitrary form in the errors of a linear panel model after estimation of the regression coefficients by the within-group estimator. The test is designed for short panels and can deal with general missing-data patterns. The test is different from the related portmanteau test of Inoue and Solon (2006, Econometric Theory 22: 835–851), which is performed by xtistest (Wursten, 2018, Stata Journal 18: 76–100), in that it allows for heteroskedasticity. In simulations documented below, xtserialpm is found to provide a more powerful test than xthrtest (Wursten 2018), which performs the test for first-order autocorrelation of Born and Breitung (2016, Econometric Reviews 35: 1290–1316). We also provide comparisons with xtistest and xtserial (Drukker, 2003, Stata Journal 3: 168–177). These tests perform well under stationarity but break down under even mild forms of heteroskedasticity.



中文翻译:

用于线性面板模型中序列相关性的Portmanteau检验

我们引入命令xtserialpm来执行在乔奇曼斯开发的portmanteau测试(2019年,剑桥大学经济学工作论文第1993号,剑桥大学经济学院)。该程序通过组内估计器估计回归系数后,测试线性面板模型误差中任意形式的序列相关性。该测试是为短面板设计的,可以处理一般的缺失数据模式。该测试与Inoue和Solon(2006,Econometric Theory 22:835–851)的相关portmanteau测试不同,后者通过xtistest(Wursten,2018,Stata Journal 18:76–100)进行测试,因为它允许异方差。在下面记录的模拟中,发现xtserialpm提供比xthrtest(Wursten 2018)更强大的测试,后者对Born和Breitung的一阶自相关进行测试(2016,Econometric Reviews 35:1290–1316)。我们还提供了与xtistestxtserial的比较(Drukker,2003年,Stata Journal 3:168–177)。这些测试在平稳状态下表现良好,但在轻度形式的异方差下也会崩溃。

更新日期:2020-03-24
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