In this article, we describe the xttestms command, which implements the Lagrange multiplier test proposed by Magazzini and Calzolari (2020, Econometric Reviews 39: 115–134). The test verifies the validity of the initial conditions in dynamic panel-data models, which is required for consistency of the system generalized method of moments estimator
A LM test for the mean stationarity assumption in dynamic panel data models
laura magazzini
;giorgio calzolari
2023-01-01
Abstract
In this article, we describe the xttestms command, which implements the Lagrange multiplier test proposed by Magazzini and Calzolari (2020, Econometric Reviews 39: 115–134). The test verifies the validity of the initial conditions in dynamic panel-data models, which is required for consistency of the system generalized method of moments estimatorFile in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
xttestms_R1.pdf
non disponibili
Tipologia:
Documento in Pre-print/Submitted manuscript
Licenza:
Altro
Dimensione
550.57 kB
Formato
Adobe PDF
|
550.57 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
