plm (version 2.6-4)

mtest: Arellano--Bond Test of Serial Correlation

Description

Test of serial correlation for models estimated by GMM

Usage

mtest(object, ...)
# S3 method for pgmm
mtest(object, order = 1L, vcov = NULL, ...)

Value

An object of class "htest".

Arguments

object

an object of class "pgmm",

...

further arguments (currently unused).

order

integer: the order of the serial correlation,

vcov

a matrix of covariance for the coefficients or a function to compute it,

Author

Yves Croissant

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.

References

AREL:BOND:91plm

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, order = 1L)
mtest(ar, order = 2L, vcov = vcovHC)