On testing overidentifying restrictions in dynamic panel data models
نویسندگان
چکیده
منابع مشابه
On Testing Overidentifying Restrictions in Dynamic Panel Data Models
The conventional Sargan (1958) / Hansen (1982) test of overidentifying restrictions and the Tilting Parameter test of Imbens, Spady and Johnson (1998) are compared in the context of the AR(1) dynamic panel data model using Monte Carlo experiments. Interestingly, the size properties of the former are found to be superior in this setting. Nevertheless, the Sargan / Hansen test is found to have no...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2002
ISSN: 0165-1765
DOI: 10.1016/s0165-1765(02)00130-1