An LM test for first-order serial correlation in a fixed effects model. For (H_{5}^{b} ; ho=) 0

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An LM test for first-order serial correlation in a fixed effects model. For $H_{5}^{b} ; ho=$ 0 (given the $\mu_{i}$ are fixed),

(a) Verify that the likelihood is given by (5.40) and derive the MLE of the $\mu_{i}$.

(b) Using (5.34) and (5.35), verify that the LM statistic for $H_{5}^{b}$ is given by (5.42).

(c) Verify that for $H_{5}^{a} ; \lambda=0$ (given the $\mu_{i}$ are fixed), one obtains the same LM statistic as in (5.42).

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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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An LM test for first-order serial correlation in a fixed effects model. For (H_{5}^{b} ; ho=) 0

Question:

NT 1-1 =NT(_1/un) i=1 t=2 NT 8L(0)/0 = NT i=1 t=2 L(0)/06 = (NT /26?)[1 - (IN & Jr)/(t)] (5.34)

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Econometric Analysis Of Panel Data

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