| mtest {plm} | R Documentation |
Test of serial correlation for GMM models
mtest(object, order=1, vcov=NULL)
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. |
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.
An object of class "htest".
Yves Croissant
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.
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)