A Lagrange multiplier test for the mean stationarity assumption in dynamic panel-data models

Laura Magazzini and Giorgio Calzolari

Stata Journal, 2023, vol. 23, issue 2, 418-437

Abstract: In this article, we describe the xttestms command, which implements the Lagrange multiplier test proposed by Magazzini and Calzolari (2020, Econometric Reviews 39: 115–134). The test verifies the validity of the initial conditions in dynamic panel-data models, which is required for consistency of the system generalized method of moments estimator.

Keywords: xttestms; panel data; dynamic model; generalized method of moments estimation; initial conditions; test of overidentifying restrictions; Lagrange multiplier test (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1177/1536867X231175276

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