plm (version 0.2-2)

mtest: Arellano and 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.

Value

• An object of class "htest".

Details

The Arellano and 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.

References

Arellano, Manuel & Bond, Stephen (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.

Examples

data(EmplUK)
pdata.frame(EmplUK,"firm","year")
ar <- pgmm(dynformula(log(emp)~log(wage)+log(capital)+log(output),list(2,1,2,2)),EmplUK,
           effect="twoways",model="twosteps",
           gmm.inst=~log(emp),lag.gmm=list(c(2,99)))
mtest(ar,1)
mtest(ar,2,pvcovHC)