mtest: Arellano-Bond Test of Serial Correlation

View source: R/est_gmm.R

mtestR Documentation

Arellano–Bond Test of Serial Correlation

Description

Test of serial correlation for models estimated by GMM

Usage

mtest(object, ...)

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

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,

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


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)


plm documentation built on March 18, 2022, 6:15 p.m.