Testing for serial correlation in linear panel-data models

David M. Drukker

doi:10.1177/1536867X0300300206

Testing for serial correlation in linear panel-data models

2003-06-01

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David M. Drukker *

DOI：10.1177/1536867X0300300206

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Because serial correlation in linear panel-data models biases the standard errors and causes the results to be less efficient, researchers need to identify serial correlation in the idiosyncratic error term in a panel-data model. A new test for serial correlation in random-or fixed-effects one-way models derived by Wooldridge (2002) is attractive because it can be applied under general conditions and is easy to implement. This paper presents simulation evidence that the new Wooldridge test has good size and power properties in reasonably sized samples.

Keyword:

st0039

panel data

serial correlation

specification tests

Testing for serial correlation in linear panel-data models

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