Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A TEST FOR AUTOCORRELATION IN DYNAMIC PANEL DATA MODELS

  • Jung, Ho-Sung (Department of Economics, Hitotsubashi University)
  • Published : 2005.12.01
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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 $m_2$ test or the Sargan test under both forms of serial correlation (i.e., AR(1) and MA(1)).

Keywords

References

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