| 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–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, 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), april 1991, pp.227–297.
data("EmplUK", package = "plm")
ar <- pgmm(dynformula(log(emp)~log(wage)+log(capital)+log(output),list(2,1,2,2)),
data = EmplUK, effect = "twoways", model = "twosteps",
gmm.inst = ~ log(emp), lag.gmm = list(c(2,99)))
mtest(ar, 1)
mtest(ar, 2, pvcovHC)