Question: Using the Monte Carlo setup in Baltagi and Li (1995), study the performance of the tests proposed in Table 5.4. Table 5.4 Testing for serial

Using the Monte Carlo setup in Baltagi and Li (1995), study the performance of the tests proposed in Table 5.4.

Table 5.4 Testing for serial correlation and individual effects Null hypothesis Ho

Table 5.4 Testing for serial correlation and individual effects Null hypothesis Ho Alternative hypothesis HA 1a. 1b. 2. 3a. 3b. 4a. 4b. 5a. 5b. 6 7 H: = 0; = 0 H:0=0; p=0 H:0=0 H:A=0 H: p=0 H: X=0 (0) H:p=0 (0) HA=0 (u; fixed) H: p= 0 (u; fixed) H6 : AR(1) H7 : MA(1) oor #0 oor p = 0 X>0 P>0 X> 0 (0 > 0) p> 0 (00) > > 0 ( fixed) p> 0 (; fixed) MA(1) AR(1) Test statistics Asymptotic distribution under Ho LM LM LM LM3 LM3 LM4 LM4 LM5 LMS BGT1 BGT2 X X N (0, 1) N (0, 1) N (0, 1) N (0, 1) N (0, 1) N (0, 1) N (0, 1) N (0, 1) N (0, 1)

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