Angrist and Newey's version of Chamberlain test for fixed effects
Angrist and Newey's version of the Chamberlain test
aneweytest(formula, data, subset, na.action, index = NULL, ...)
Angrist and Newey's test is based on the results of the artifactual regression of the within residuals on the covariates for all the periods.
An object of class "htest"
.
Yves Croissant
Angrist JD, Newey WK (1991). “Over-identification tests in earnings functions with fixed effects.” Journal of Business \& Economic Statistics, 9(3), 317–323.
piest()
for Chamberlain's test
data("RiceFarms", package = "plm") aneweytest(log(goutput) ~ log(seed) + log(totlabor) + log(size), RiceFarms, index = "id")
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