Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
AbstractThis paper presents specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments, and studies the practical performance of these procedures using both generated and real data. The authors' generalized method of moments estimator optimally exploits all the linear moment restrictions that follow from the assumption of no serial correlation in the errors in an equation which contains individual effects, lagged dependent variables, and no strictly exogenous variables. They propose a test of serial correlation based on the generalized method of moments residuals and compare this with Sargan tests of over-identifying restrictions and Hausman specification tests. Copyright 1991 by The Review of Economic Studies Limited.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 58 (1991)
Issue (Month): 2 (April)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0034-6527
Other versions of this item:
- Tom Doan, . "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
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- Manuel Arellano recibe el premio Jaime I de Economía.
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