Arellano--Bond test of Serial Correlation

Test of serial correlation for models estimated by GMM

mtest(object, order = 1, vcov = NULL)

Arguments

object	an object of class "pgmm",
order	the order of the serial correlation (1 or 2),
vcov	a matrix of covariance for the coefficients or a function to compute it.

Value

An object of class "htest".

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.

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 = 1)
#> 
#> 	Autocorrelation test of degree 1
#> 
#> data:  log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital),  ...
#> normal = -2.9998, p-value = 0.002702
#> 
mtest(ar, order = 2, vcov = vcovHC)
#> 
#> 	Autocorrelation test of degree 2
#> 
#> data:  log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital),  ...
#> normal = -0.36744, p-value = 0.7133
#>