A joint LM test for serial correlation and random individual effects. Using (4.17) and (4.19), verify (5.34)

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A joint LM test for serial correlation and random individual effects. Using (4.17) and (4.19), verify (5.34) and (5.35) and derive the $\mathrm{LM}_{1}$ statistic given in (5.36).

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Econometric Analysis Of Panel Data

ISBN: 9783030539528

6th Edition

Authors: Badi H Baltagi

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Question Posted: Mar 02, 2024 11:00 PM

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A joint LM test for serial correlation and random individual effects. Using (4.17) and (4.19), verify (5.34)

Question:

NT NT 8L(0)/03 = NT 1-1 = NTt_1/it) = i=l t=2 i=1 t=2 OL(0)/96 = (NT /26?)[1 - (IN & Jr)/(0)] (5.34)

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Econometric Analysis Of Panel Data

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