Using the Monte Carlo setup in Baltagi and Li (1995), study the performance of the tests proposed in Table 5.4.

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Table 5.4 Testing for serial correlation and individual effects Null hypothesis Ho Alternative hypothesis HA 1a. 1b. 2. 3a. 3b. 4a. 4b. 5a. 5b. 6 7 H: = 0; = 0 H:0=0; p=0 H:0=0 H:A=0 H: p=0 H: X=0 (0) H:p=0 (0) HA=0 (u; fixed) H: p= 0 (u; fixed) H6 : AR(1) H7 : MA(1) oor #0 oor p = 0 X>0 P>0 X> 0 (0 > 0) p> 0 (00) > > 0 ( fixed) p> 0 (; fixed) MA(1) AR(1) Test statistics Asymptotic distribution under Ho LM LM LM LM3 LM3 LM4 LM4 LM5 LMS BGT1 BGT2 X X N (0, 1) N (0, 1) N (0, 1) N (0, 1) N (0, 1) N (0, 1) N (0, 1) N (0, 1) N (0, 1)