Serial Correlation and the Fixed Effects Model
推广了Durbin-Watson统计量，用于检验固定效应模型OLS残差的序列独立性，并推广了Sargan和Bhargava的随机游走假设检验，同时开发了参数的有效估计方法，最后用收入数据示例。
This paper generalizes the Durbin-Watson type statistics to test the OLS residuals from the fixed effects model for serial independence. Also generalized are the tests proposed by Sargan and Bhargava for the hypothesis that the residuals form a random walk. A method for efficient estimation of the parameters is also developed. Finally, an earnings function is estimated using the Michigan Survey of Income Dynamics in order to illustrate the uses of the tests and the estimation procedures developed in this paper.