Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)
- 2005.11a
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- Pages.167-173
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- 2005
A Test for Autocorrelation in Dynamic Panel Data Models
Abstract
This paper presents an autocorrelation test that is applicable to dynamic panel data models with serially correlated errors. The residual-based GMM t-test is a significance test that is applied after estimating a dynamic model by using the instrumental variable(IV) method and is directly applicable to any other consistently estimated residuals. Monte Carlo simulations show that the t-test has considerably more power than the