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Power properties of the Sargan test in the presence of measurement errors in dynamic panels

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  • Matz Dahlberg
  • Eva Mork
  • Per Tovmo

Abstract

This article investigates the power properties of the Sargan test in the presence of measurement errors in dynamic panel data models. The conclusion from Monte Carlo (MC) simulations and an application on the data used by Arellano and Bond (1991), is that in the very likely case of measurement errors in either the dependent or any of the independent variables, we will, if we rely on the Sargan test, quite likely accept a misspecified model and end up with biased results.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 15 (2008)
Issue (Month): 5 ()
Pages: 349-353

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Handle: RePEc:taf:apeclt:v:15:y:2008:i:5:p:349-353

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  1. Bowsher, Clive G., 2002. "On testing overidentifying restrictions in dynamic panel data models," Economics Letters, Elsevier, vol. 77(2), pages 211-220, October.
  2. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  3. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
  4. Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-95, November.
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Cited by:
  1. Auld, M. Christopher, 2011. "Effect of large-scale social interactions on body weight," Journal of Health Economics, Elsevier, vol. 30(2), pages 303-316, March.
  2. Ali-Yrkkö, Jyrki, 2004. "Impact of Public R&D Financing on Private R&D - Does Financial Constraint Matter?," Discussion Papers 943, The Research Institute of the Finnish Economy.
  3. Angelica Gonzalez, 2007. "Empirical Likelihood Estimation in Dynamic Panel Models," ESE Discussion Papers 168, Edinburgh School of Economics, University of Edinburgh.
  4. Joeri Smits & Jeffrey S. Racine, 2013. "Testing Exclusion Restrictions in Nonseparable Triangular Models," Department of Economics Working Papers 2013-02, McMaster University.
  5. Takuya Hasebe, 2012. "The tests for the level moment conditions: GMM estimation in a linear dynamic panel data model," Economics Bulletin, AccessEcon, vol. 32(1), pages 412-420.

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