How do you test for autocorrelation in a random effects model?

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Roman Zmyslony

It depends on your model. If it is regular in the meaning that there exists BLUE and BQUE then you can use ratio F-test or general F test based on unbiased estimator of covariance.

Adrian Otoiu

Not sure if you use R.

If you would consider it there is a package called plm. There you have several tests available for autocorrelation, and also tools to correct for it.

Zdenka Zakova Kroupova

These publications can also help you: http://www.sciencedirect.com/science/article/pii/030440769401646H

http://www.stata-journal.com/sjpdf.html?articlenum=st0039