plm (version 1.2-3)

mtest: Arellano--Bond test of Serial Correlation

Description

Test of serial correlation for models estimated by GMM

Usage

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.

Value

• An object of class "htest".

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

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), 1991, pp.227--297.

See Also

pgmm

Examples

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, vcovHC)