方法对比
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| 布雷施-戈弗雷序列相关LM检验× | Frees 截面相关性检验（Frees Cross-Sectional Dependence Test）× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族≠ | Regression model | Hypothesis test |
| 起源年份≠ | 1978 | 1995 |
| 提出者≠ | Trevor Breusch & Leslie Godfrey | Edward Frees |
| 类型≠ | Lagrange-multiplier test for serial correlation | Non-parametric panel diagnostic test |
| 开创性文献≠ | Godfrey, L. G. (1978). Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables. Econometrica, 46(6), 1293–1301. DOI ↗ | Frees, E. W. (1995). Assessing cross-sectional correlation in panel data. Journal of Econometrics, 69(2), 393–414. DOI ↗ |
| 别名 | BG test, LM test for autocorrelation, Breusch-Godfrey serial correlation test, Breusch-Godfrey otokorelasyon testi | Frees CD Test, Frees Q-statistic Test, Cross-Sectional Dependence Test (Frees), Frees Bağımlılık Testi |
| 相关 | 3 | 3 |
| 摘要≠ | The Breusch-Godfrey test is a Lagrange-multiplier test for serial correlation in regression residuals, developed independently by Trevor Breusch (1978) and Leslie Godfrey (1978). Unlike the Durbin-Watson test, it detects autocorrelation up to any chosen order p, remains valid when the model includes lagged dependent variables, and produces a definite chi-square p-value rather than an inconclusive region — making it the modern standard for autocorrelation testing. | The Frees test, introduced by Edward Frees in 1995, is a non-parametric diagnostic procedure for detecting cross-sectional dependence in panel data. It is designed for settings where N (number of units) is large and T (time periods) is moderate, making it a standard pre-estimation check before applying panel regression methods that assume cross-sectional independence. Applied economists and social scientists routinely use it to verify whether units in the panel share common shocks or spatial linkages. |
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