On Sun, 14 Jul 2019, Sven Schreiber wrote:
Am 13.07.2019 um 23:12 schrieb Allin Cottrell:
> On Sat, 13 Jul 2019, Artur Tarassow wrote:
> That's now done in git. "modtest --autocorr" (or the
"Autocorrelation"
> menu item under Tests in the model window) gives
> the Wooldridge test, provided the estimator is fixed or random effects
> and the panel has a time-series length of at least 3.
>
> > However, in another private chat, Sven has posed the question whether
> > Wooldridge's test is really only valid for RE-/FE-type of panel
> > models. Once this is clarified it may be applicable for a larger class
> > of panel models.
>
> OK, I'll stay tuned on that point.
I think it's clear that FE and RE are the most important use cases,
probably covering 95-99% of all needs here. In principle, however, I
guess that at least two more variants could be easily covered: First
there's 'panel ... --pooled', because it's just a special case when
there are no individual effects.
I've now added (via modtest --autocorr) the serial correlation test
that Wooldrige recommends for pooled OLS (see pp. 176-7 of his panel
book). It's based on an auxiliary pooled regression in which the
lagged residual is added to the original specification; the test is
just a (robust) t-test on the lag.
Allin