mtest: Arellano-Bond Test of Serial Correlation

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/est_gmm.R

Description

Test of serial correlation for models estimated by GMM

Usage

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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.

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.

Value

An object of class "htest".

Author(s)

Yves Croissant

References

\insertCite

AREL:BOND:91plm

See Also

pgmm()

Examples

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

plm documentation built on March 3, 2021, 1:12 a.m.