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% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/test_serial.R
\name{pwtest}
\alias{pwtest}
\alias{pwtest.formula}
\alias{pwtest.panelmodel}
\title{Wooldridge's Test for Unobserved Effects in Panel Models}
\usage{
pwtest(x, ...)
\method{pwtest}{formula}(x, data, effect = c("individual", "time"), ...)
\method{pwtest}{panelmodel}(x, effect = c("individual", "time"), ...)
}
\arguments{
\item{x}{an object of class \code{"formula"}, or an estimated model of class
\code{panelmodel},}
\item{\dots}{further arguments passed to \code{plm}.}
\item{data}{a \code{data.frame},}
\item{effect}{the effect to be tested for, one of \code{"individual"}
(default) or \code{"time"},}
}
\value{
An object of class \code{"htest"}.
}
\description{
Semi-parametric test for the presence of (individual or time) unobserved
effects in panel models.
}
\details{
This semi-parametric test checks the null hypothesis of zero
correlation between errors of the same group. Therefore, it has
power both against individual effects and, more generally, any kind
of serial correlation.
The test relies on large-N asymptotics. It is valid under error
heteroskedasticity and departures from normality.
The above is valid if \code{effect="individual"}, which is the most
likely usage. If \code{effect="time"}, symmetrically, the test relies on
large-T asymptotics and has power against time effects and, more
generally, against cross-sectional correlation.
If the panelmodel interface is used, the inputted model must be a pooling
model.
}
\examples{
data("Produc", package = "plm")
## formula interface
pwtest(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc)
pwtest(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, effect = "time")
## panelmodel interface
# first, estimate a pooling model, than compute test statistics
form <- formula(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp)
pool_prodc <- plm(form, data = Produc, model = "pooling")
pwtest(pool_prodc) # == effect="individual"
pwtest(pool_prodc, effect="time")
}
\references{
\insertRef{WOOL:02}{plm}
\insertRef{WOOL:10}{plm}
}
\seealso{
\code{\link[=pbltest]{pbltest()}}, \code{\link[=pbgtest]{pbgtest()}},
\code{\link[=pdwtest]{pdwtest()}}, \code{\link[=pbsytest]{pbsytest()}}, \code{\link[=pwartest]{pwartest()}},
\code{\link[=pwfdtest]{pwfdtest()}} for tests for serial correlation in panel models.
\code{\link[=plmtest]{plmtest()}} for tests for random effects.
}
\author{
Giovanni Millo
}
\keyword{htest}
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