TY - JOUR
AU - Bond,, Stephen
AB - Downloaded from https://academic.oup.com/restud/article-abstract/58/2/277/1563354 by guest on 14 October 2019 Review of Economic Studies (1991) 58, 277-297 0034-6527/91/00180277$02.00 © 1991 The Review of Economic Studies Limited Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations MANUEL ARELLANO London School of Economics and STEPHEN BOND University of Oxford First version received May 1988; final version accepted July 1990 (Eds.) 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. 1. INTRODUCTION The purpose of this paper is to present specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments (GMM) and to study the practical performance 
TI - Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
JF - The Review of Economic Studies
DO - 10.2307/2297968
DA - 1991-04-01
UR - https://www.deepdyve.com/lp/oxford-university-press/some-tests-of-specification-for-panel-data-monte-carlo-evidence-and-an-mpNoPff6v3
SP - 277
VL - 58
IS - 2
DP - DeepDyve
ER -