BP Test for Random Effects

[TomDoan]

This is an example of the use of the BPPANELTESTS procedure for testing for the presence of random effects (vs no effects) posted at:

http://www.estima.com/forum/viewtopic.php?f=7&t=1019

This replicates part of Table 4.1 in Baltagi, "Econometric Analysis of Panel Data", 4th ed.

Code: Select all

*
* Baltagi, "Econometric Analysis of Panel Data", 4th ed.
* Example 4.2.7, pp 69-72
*
open data grunfeld.xls
calendar(panelobs=20,a) 1935
all 10//1954:01
data(format=xls,org=columns) 1//1935:01 10//1954:01 firm year invest value cap
*
linreg invest
# constant value cap
@bppaneltests(effects=both) %resids

Data file:

grunfeld.xls

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