BP Test for Random Effects
Posted: Mon Apr 06, 2015 3:47 pm
This is an example of the use of the @BPPANELTESTS procedure for testing for the presence of random effects (vs no effects). This replicates part of Table 4.1 in Baltagi, "Econometric Analysis of Panel Data", 4th ed.
Data file:
Code: Select all
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* Baltagi, "Econometric Analysis of Panel Data", 4th ed.
* Example 4.2.7, pp 69-72
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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
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linreg invest
# constant value cap
@bppaneltests(effects=both) %resids