mtest {plm}R Documentation

Arellano–Bond test of Serial Correlation

Description

Test of serial correlation for models estimated by GMM

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 standard 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), 1991, pp.227–297.

See Also

pgmm

Examples

data("EmplUK", package = "plm")
ar <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) +
           lag(log(capital), 0:2) + lag(log(output), 0:2) | lag(log(emp), 2:99),
           data = EmplUK, effect = "twoways", model = "twosteps")
mtest(ar, 1)
mtest(ar, 2, vcovHC)

[Package plm version 1.2-10 Index]