This article develops tests of covariance restrictions after estimating by three-stage least squares a dynamic random effects model from panel data. The asymptotic distribution of covariance matrix estimates under nonnormality is obtained. It is shown how minimum chi-square tests for interesting covariance restrictions can be calculated from a generalized linear regression involving the sample autocovariances and dummy variables. Asymptotic efficiency exploiting covariance restrictions can also be attained using a generalized least squares estimator. Copyright 1990 by The Review of Economic Studies Limited.
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Volume (Year): 57 (1990) Issue (Month): 1 (January) Pages: 127-34 Download reference. The following formats are available: HTML
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