Arellano–Bond Test of Serial Correlation
Test of serial correlation for models estimated by GMM
mtest(object, order = 1, vcov = NULL)
object |
an object of class |
order |
the order of the serial correlation (1 or 2), |
vcov |
a matrix of covariance for the coefficients or a function to compute it. |
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.
An object of class "htest".
Yves Croissant
(Arellano and Bond 1991)
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 = 1)
mtest(ar, order = 2, vcov = vcovHC)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.