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rtestingeconomics

R - Wald test and Autocorrelation test

Please, how can I do Wald test (heteroskedasticity) and autocorrelation test (from Wooldridge) in R?

I'm using Pooled OLS, Fixed Efects and Random Efects with library(plm) in a unbalanced panel.

Thanks.

Solution

  • Here is a link that provides directions how to perform the heteroskedasticity tests you are looking for using lme and lmtest packages. There are many comments and recommendations:

    http://people.tamu.edu/~b-wood/Maximum%20Likelihood/RLesson%204.htm

    As for specifically plm package: You can find some examples here Waldtest in R to get adjust F statistic with plm and result shown with stargazer? and looking at the documentation of plm package. The plm package states: In plm we provide a number of joint, marginal and conditional ml-based tests, plus some semi-parametric alternatives which are robust vs. heteroskedasticity and free from distributional assumptions.

    You should also look into lfe package: https://cran.r-project.org/web/packages/lfe/lfe.pdf