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help for ^xttest1^                                                (STB-61: sg164)
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Specification tests for linear panel data models
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	^xttest1^

^xttest1^ is used after ^xtreg, re^, and presents several specification
tests for balanced error component models. It includes the Breusch and Pagan
(1980) Lagrange Multiplier test for random effects, the Baltagi-Li (1995) test
for first-order serial correlation, the Baltagi-Li (1991) joint test for
serial correlation and random effects, and the family of robust tests in Bera,
Sosa-Escudero, and Yoon (2001, BSY hereafter). ^xttest1^ is an extension of
^xttest0^.



Description
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If you have not read help for @xt@, please do so now. Consider the standard
error component model allowing for possible first-order serial correlation:


		y[i,t] = a + B*x[i,t] + u[i] + e[i,t]

		e[i,t] = rho e[i,t-1] + v[i,t]

Typically researchers are interested in the hypotesis of no random effects
(Var(u[i])=0) and/or no serial correlation (rho=0). After estimating a
balanced random effects model using ^xtreg,re^, ^xttest0^ produces seven
specification tests:

1) LM Test for random effects, assuming no serial correlation
2) Adjusted LM test for random effects, which works even under serial
   correlation
3) One sided version of the LM test for random effects
4) One sided version of the adjusted LM test for random effects
5) LM Joint test for random effects and serial correlation
6) LM test for first-order serial correlation, assuming no random effects
7) Adjusted test for first-order serial correlation, which works even under
   random effects

Tests 1,2,6, and 7 have asymptotic chi-sq distribution with one degree
of freedom under the null hypothesis. Test 5 has asymptotic chi-sq
distribution with two degrees of freedom under the null hypothesis,
and Tests 3 and 4 have standard normal distribution under the null.


Example
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	. ^xtreg ln_w grade age* ttl_exp tenure*, re^
	. ^xttest1^


Authors
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  Walter Sosa-Escudero, 
  National University of La Plata, Argentina, wsosa@@feedback.net.ar

  Anil K. Bera, 
  Department of Economics, University of Illinois


Also see
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 Manual:  ^[U] 26 Estimation and post-estimation commands^
          ^[U] 35 Overview of model estimation^
	  ^[R] xtreg^
On-line:  help for @xt@, @xtgee@, @xtgls@;
		   @est@; @lincom@, @predict@, @test@, @testnl@, @vce@