mtest {plm}

Arellano–Bond Test of Serial Correlation

Description

Test of serial correlation for models estimated by GMM

Usage

mtest(object, ...)

## S3 method for class 'pgmm'
mtest(object, order = 1L, vcov = NULL, ...)

Arguments

object

an object of class "pgmm",

...

further arguments (currently unused).

order

integer: the order of the serial correlation,

vcov

a matrix of covariance for the coefficients or a function to compute it,

Details

The Arellano–Bond test is a test of correlation based on the residuals of the estimation. By default, the computation is done with the standard covariance matrix of the coefficients. A robust estimator of this covariance matrix can be supplied with the vcov argument.

Value

An object of class "htest".

Author(s)

Yves Croissant

References

(Arellano and Bond 1991)

See Also

pgmm()

Examples

data("EmplUK", package = "plm")
ar <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) +
           lag(log(capital), 0:2) + lag(log(output), 0:2) | lag(log(emp), 2:99),
           data = EmplUK, effect = "twoways", model = "twosteps")
mtest(ar, order = 1L)
mtest(ar, order = 2L, vcov = vcovHC)