Am 15.07.2019 um 18:13 schrieb Allin Cottrell:
On Sun, 14 Jul 2019, Sven Schreiber wrote:
> 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.
That's certainly a better idea!
thanks
sven