Skip to content
Anchorcite

Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

Manuel Arellano, Stephen R. Bond

The Review of Economic Studies · 1991 · 33,543 citations

doi.org/10.2307/2297968

Abstract

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.

Cite this paper

Arellano, M., & Bond, S. R. (1991). Some tests of specification for panel data: Monte carlo evidence and an application to employment equations. The Review of Economic Studies, 58(2), 277. https://doi.org/10.2307/2297968

Read it with every claim anchored

Add this paper to a project, ask questions of it, and get answers that point to the exact passage.

Start free

Related papers

  1. Increasing Returns and Long-Run Growth1986
  2. A simple panel unit root test in the presence of cross‐section dependence2007
  3. Instrumental Variables Regression with Weak Instruments1997
  4. A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test1999
  5. What To Do (and Not to Do) with Time-Series Cross-Section Data1995

Metadata from OpenAlex (CC0). Citations are generated from the published record.