plm (version 1.5-12)

aneweytest: Chamberlain estimator and test for fixed effects

Description

Angrist and Newey's version of the Chamberlain test

Usage

aneweytest(formula, data, subset, na.action, index = NULL, ...)

Arguments

formula

a symbolic description for the model to be estimated,

data

a data.frame,

subset

see lm,

na.action

see lm,

index

the indexes,

...

further arguments.

Value

An object of class "htest".

Details

Angrist and Newey's test is based on the results of the artifactual regression of the within residuals on the covariates for all the period.

References

Angrist, J.D. and Newey, W.K. (1991). Over-identification tests in earnings functions with fixed effects, Journal of Business & Economic Statistics, 9(3), pp. 317--323.

Examples

data("RiceFarms", package = "plm")
aneweytest(log(goutput) ~ log(seed) + log(totlabor) + log(size), RiceFarms, index = "id")