mtest {plm}R Documentation

Arellano–Bond test of Serial Correlation

Description

Test of serial correlation for GMM models

Usage

mtest(object, order=1, vcov=NULL)

Arguments

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.

Details

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.

Value

An object of class "htest".

Author(s)

Yves Croissant

References

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.

See Also

pgmm

Examples

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)

[Package plm version 1.1-1 Index]