mtest {plm} | R Documentation |
Test of serial correlation for GMM models
mtest(object, order=1, vcov=NULL)
object |
an object of class "pgmm" , |
order |
the order of the serial correlation (1 or 2), |
vcov |
a matrix of covariance for the coefficients or a function to compute it. |
The Arellano–Bond test is a test of correlation based on the
residuals of the estimation. By default, the computation is done with
the normal covariance matrix of the coefficients. A robust estimator
of this covariance matrix can be supplied with the vcov
argument.
An object of class "htest"
.
Yves Croissant
Arellano, M. and Bond, S. (1991), Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations, The Review of Economic Studies, vol. 58(2), april 1991, pp.227–297.
data("EmplUK", package = "plm") ar <- pgmm(dynformula(log(emp)~log(wage)+log(capital)+log(output),list(2,1,2,2)), data = EmplUK, effect = "twoways", model = "twosteps", gmm.inst = ~ log(emp), lag.gmm = list(c(2,99))) mtest(ar, 1) mtest(ar, 2, vcovHC)