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CiteWeb id: 19910000006

CiteWeb score: 20332

DOI: 10.2307/2297968

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.

The publication "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations" is placed in the Top 1000 of the best publications in CiteWeb. Also in the category Other it is included to the Top 100. Additionally, the publicaiton "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations" is placed in the Top 100 among other scientific works published in 1991.
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