'R: Test for serial correlation after having used felm
I would like to test if serial correlation is present in my model. I have a large panel data set and I run the regression with felm
and let's call the model felmmodel.
I know there are several ways to test for serial correlation. For instance, pdwtest
, pwfdtest
or pbgtest
.
However, when I try to run these tests with felmmodel, I always get an error saying I cannot use these tests with felm
. Is there another function in R where I can test for serial correlation with felm
?
The reason I use felm
and not plm
for my regression is that I would like to cluster my standard errors based on a specific variable in my dataset. I can specificy that when using felm. With plm
, I have to use coeftest(plmmodel, vcov. = vcovHC(plmmodel, cluster="group"))
. I can only choose beteen cluster="group"
or cluster="time"
but nothing else.
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