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. xttest1
Tests for the error component model:
lndreward[cntry,t] = Xb + u[cntry] + v[cntry,t]
v[cntry,t] = lambda v[cntry,(t-1)] + e[cntry,t]
Estimated results:
| Var sd = sqrt(Var)
---------+-----------------------------
lndreward | 2.473145 1.572624
e | 1.091346 1.0446749
u | .3460928 .58829653
Tests:
Random Effects, Two Sided:
ALM(Var(u)=0) = 37.69 Pr>chi2(1) = 0.0000
Random Effects, One Sided:
ALM(Var(u)=0) = 6.14 Pr>N(0,1) = 0.0000
Serial Correlation:
ALM(lambda=0) = 4.94 Pr>chi2(1) = 0.0262
Joint Test:
LM(Var(u)=0,lambda=0) = 62.79 Pr>chi2(2) = 0.0000
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