Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment... Downloaded from https://academic.oup.com/restud/article-abstract/58/2/277/1563354 by guest on 14 October 2019 Review of Economic Studies (1991) 58, 277-297 0034-6527/91/00180277$02.00 © 1991 The Review of Economic Studies Limited Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations MANUEL ARELLANO London School of Economics and STEPHEN BOND University of Oxford First version received May 1988; final version accepted July 1990 (Eds.) This paper presents specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments (GMM), and studies the practical performance of these procedures using both generated and real data. Our GMM 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. We propose a test of serial correlation based on the GMM residuals and compare this with Sargan tests of over-identifying restrictions and Hausman specification tests. 1. INTRODUCTION The purpose of this paper is to present specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments (GMM) and to study the practical performance http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Review of Economic Studies Oxford University Press

Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

Loading next page...
 
/lp/oxford-university-press/some-tests-of-specification-for-panel-data-monte-carlo-evidence-and-an-mpNoPff6v3

References (22)

Publisher
Oxford University Press
Copyright
© 1991 The Review of Economic Studies Limited
ISSN
0034-6527
eISSN
1467-937X
DOI
10.2307/2297968
Publisher site
See Article on Publisher Site

Abstract

Downloaded from https://academic.oup.com/restud/article-abstract/58/2/277/1563354 by guest on 14 October 2019 Review of Economic Studies (1991) 58, 277-297 0034-6527/91/00180277$02.00 © 1991 The Review of Economic Studies Limited Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations MANUEL ARELLANO London School of Economics and STEPHEN BOND University of Oxford First version received May 1988; final version accepted July 1990 (Eds.) This paper presents specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments (GMM), and studies the practical performance of these procedures using both generated and real data. Our GMM 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. We propose a test of serial correlation based on the GMM residuals and compare this with Sargan tests of over-identifying restrictions and Hausman specification tests. 1. INTRODUCTION The purpose of this paper is to present specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments (GMM) and to study the practical performance

Journal

The Review of Economic StudiesOxford University Press

Published: Apr 1, 1991

There are no references for this article.