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

Arellano, Manuel; Bond, Stephen

doi:10.2307/2297968

Public

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

Published in The Review of Economic Studies • Apr 1, 1991

Authors:

Manuel Arellano

Stephen Bond

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 m...

Subject

Generalized method of moments

Estimator

Panel data

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