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A Lagrange multiplier test for the mean stationarity assumption in dynamic panel-data models

Author

Listed:
  • Laura Magazzini

    (Sant’Anna School of Advanced Studies)

  • Giorgio Calzolari

    (Università di Firenze)

Abstract

In this article, we describe the xttestms command, which implements the Lagrange multiplier test proposed by Magazzini and Calzolari (2020, Econometric Reviews 39: 115–134). The test verifies the validity of the initial conditions in dynamic panel-data models, which is required for consistency of the system generalized method of moments estimator.

Suggested Citation

  • Laura Magazzini & Giorgio Calzolari, 2023. "A Lagrange multiplier test for the mean stationarity assumption in dynamic panel-data models," Stata Journal, StataCorp LP, vol. 23(2), pages 418-437, June.
    • Handle: RePEc:tsj:stataj:v:23:y:2023:i:2:p:418-437
    DOI: 10.1177/1536867X231175276
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