mtest {plm} | R Documentation |
Test of serial correlation for models estimated by GMM
mtest(object, order=1, vcov=NULL)
object |
an object of class |
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 standard 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), 1991, pp.227–297.
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)