SOME TESTS OF SPECIFICATION FOR PANEL DATA - MONTE-CARLO EVIDENCE AND AN APPLICATION TO EMPLOYMENT EQUATIONS

被引：16701

作者：

ARELLANO, M ^{[1
]}

BOND, S ^{[1
]}

机构：

[1] UNIV OXFORD,OXFORD,ENGLAND

来源：

REVIEW OF ECONOMIC STUDIES | 1991年 / 58卷 / 02期

基金：

英国经济与社会研究理事会;

关键词：

D O I：

10.2307/2297968

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. © 1991 The Review of Economic Studies Limited.

引用

页码：277 / 297

页数：21

共 23 条

[1] INSTRUMENTAL-VARIABLE ESTIMATION OF AN ERROR-COMPONENTS MODEL [J].