Testing for Autocorrelation in Dynamic Random Effects Models

Manuel Arellano

The Review of Economic Studies, 1990, vol. 57, issue 1, 127-134

Abstract: This article develops, tests of covariance restrictions after estimating by three-stage least squares a dynamic random effects model from panel data. The asymptotic distribution of covariance matrix estimates under non-normality is obtained. It is shown how minimum chi-square tests for interesting covariance restrictions can be calculated from a generalised linear regression involving the sample autocovariances and dummy variables. Asymptotic efficiency exploiting covariance restrictions can also be attained using a GLS estimator.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:57:y:1990:i:1:p:127-134.

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