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mtest test cases vs. literature and plm 2.6-4 output
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| ### test results with plm 2.6-4 (none of the literature's results were reproduced) | ||
| library(plm) | ||
| data("EmplUK", package = "plm") | ||
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| ########################## one-step ###################### | ||
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| # Arellano/Bond 1991, Table 4, column (a1) (has robust SEs) | ||
| ab.a1 <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) | ||
| + lag(log(capital), 0:2) + lag(log(output), 0:2) | lag(log(emp), 2:99), | ||
| data = EmplUK, effect = "twoways", model = "onestep") | ||
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| mtest(ab.a1, 1, vcov = NULL) | ||
| mtest(ab.a1, 2, vcov = NULL) | ||
| mtest(ab.a1, 1, vcov = vcovHC) | ||
| mtest(ab.a1, 2, vcov = vcovHC) # -0.516 (reference) | ||
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| # Windmeijer (2025), table 2, onestep with corrected std. err | ||
| wind.s1 <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) | ||
| + log(capital) + lag(log(output), 0:1) | lag(log(emp), 2:99), | ||
| data = EmplUK, effect = "twoways", model = "onestep") | ||
| mtest(wind.s1, 1, vcov = NULL) | ||
| mtest(wind.s1, 2, vcov = NULL) | ||
| mtest(wind.s1, 1, vcov = vcovHC) # -2.493 (reference) | ||
| mtest(wind.s1, 2, vcov = vcovHC) # -0.359 (reference) | ||
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| ########################## two-steps ###################### | ||
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| # Arellano/Bond 1991, Table 4, column (a2) (non-robust SEs) | ||
| ab.a2 <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) | ||
| + lag(log(capital), 0:2) + lag(log(output), 0:2) | lag(log(emp), 2:99), | ||
| data = EmplUK, effect = "twoways", model = "twosteps") | ||
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| mtest(ab.a2, 1, vcov = NULL) | ||
| mtest(ab.a2, 2, vcov = NULL) # -0.434 (reference) | ||
| mtest(ab.a2, 1, vcov = vcovHC) | ||
| mtest(ab.a2, 2, vcov = vcovHC) | ||
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| ## Arellano and Bond (1991), table 4 col. b / Windmeijer (2025), table 2 | ||
| ab.b <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) | ||
| + log(capital) + lag(log(output), 0:1) | lag(log(emp), 2:99), | ||
| data = EmplUK, effect = "twoways", model = "twosteps") | ||
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| mtest(ab.b, 1, vcov = NULL) # -2.826 (reference about A/B's m1 in Windmeijer) | ||
| mtest(ab.b, 2, vcov = NULL) # -0.327 (reference in A/B) | ||
| mtest(ab.b, 1, vcov = vcovHC) # -1.999 (reference in Windmeijer) | ||
| mtest(ab.b, 2, vcov = vcovHC) # -0.316 (reference in Windmeijer) | ||
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| R version 4.4.2 (2024-10-31 ucrt) -- "Pile of Leaves" | ||
| Copyright (C) 2024 The R Foundation for Statistical Computing | ||
| Platform: x86_64-w64-mingw32/x64 | ||
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| R is free software and comes with ABSOLUTELY NO WARRANTY. | ||
| You are welcome to redistribute it under certain conditions. | ||
| Type 'license()' or 'licence()' for distribution details. | ||
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| R is a collaborative project with many contributors. | ||
| Type 'contributors()' for more information and | ||
| 'citation()' on how to cite R or R packages in publications. | ||
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| Type 'demo()' for some demos, 'help()' for on-line help, or | ||
| 'help.start()' for an HTML browser interface to help. | ||
| Type 'q()' to quit R. | ||
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| > ### test results with plm 2.6-4 | ||
| > library(plm) | ||
| > data("EmplUK", package = "plm") | ||
| > | ||
| > ########################## one-step ###################### | ||
| > | ||
| > # Arellano/Bond 1991, Table 4, column (a1) (has robust SEs) | ||
| > ab.a1 <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) | ||
| + + lag(log(capital), 0:2) + lag(log(output), 0:2) | lag(log(emp), 2:99), | ||
| + data = EmplUK, effect = "twoways", model = "onestep") | ||
| > | ||
| > mtest(ab.a1, 1, vcov = NULL) | ||
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| Arellano-Bond autocorrelation test of degree 1 | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital), ... | ||
| normal = -4.1906, p-value = 2.782e-05 | ||
| alternative hypothesis: autocorrelation present | ||
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| > mtest(ab.a1, 2, vcov = NULL) | ||
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| Arellano-Bond autocorrelation test of degree 2 | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital), ... | ||
| normal = -0.64241, p-value = 0.5206 | ||
| alternative hypothesis: autocorrelation present | ||
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| > mtest(ab.a1, 1, vcov = vcovHC) | ||
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| Arellano-Bond autocorrelation test of degree 1, vcov: vcovHC | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital), ... | ||
| normal = NaN, p-value = NA | ||
| alternative hypothesis: autocorrelation present | ||
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| Warning message: | ||
| In sqrt(denom) : NaNs produced | ||
| > mtest(ab.a1, 2, vcov = vcovHC) # -0.516 (reference) | ||
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| Arellano-Bond autocorrelation test of degree 2, vcov: vcovHC | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital), ... | ||
| normal = NaN, p-value = NA | ||
| alternative hypothesis: autocorrelation present | ||
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| Warning message: | ||
| In sqrt(denom) : NaNs produced | ||
| > | ||
| > # Windmeijer (2025), table 2, onestep with corrected std. err | ||
| > wind.s1 <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) | ||
| + + log(capital) + lag(log(output), 0:1) | lag(log(emp), 2:99), | ||
| + data = EmplUK, effect = "twoways", model = "onestep") | ||
| > mtest(wind.s1, 1, vcov = NULL) | ||
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| Arellano-Bond autocorrelation test of degree 1 | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + log(capital) + ... | ||
| normal = -3.9009, p-value = 9.583e-05 | ||
| alternative hypothesis: autocorrelation present | ||
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| > mtest(wind.s1, 2, vcov = NULL) | ||
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| Arellano-Bond autocorrelation test of degree 2 | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + log(capital) + ... | ||
| normal = -0.46764, p-value = 0.64 | ||
| alternative hypothesis: autocorrelation present | ||
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| > mtest(wind.s1, 1, vcov = vcovHC) # -2.493 (reference) | ||
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| Arellano-Bond autocorrelation test of degree 1, vcov: vcovHC | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + log(capital) + ... | ||
| normal = NaN, p-value = NA | ||
| alternative hypothesis: autocorrelation present | ||
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| Warning message: | ||
| In sqrt(denom) : NaNs produced | ||
| > mtest(wind.s1, 2, vcov = vcovHC) # -0.359 (reference) | ||
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| Arellano-Bond autocorrelation test of degree 2, vcov: vcovHC | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + log(capital) + ... | ||
| normal = NaN, p-value = NA | ||
| alternative hypothesis: autocorrelation present | ||
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| Warning message: | ||
| In sqrt(denom) : NaNs produced | ||
| > | ||
| > ########################## two-steps ###################### | ||
| > | ||
| > # Arellano/Bond 1991, Table 4, column (a2) (non-robust SEs) | ||
| > ab.a2 <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) | ||
| + + lag(log(capital), 0:2) + lag(log(output), 0:2) | lag(log(emp), 2:99), | ||
| + data = EmplUK, effect = "twoways", model = "twosteps") | ||
| > | ||
| > mtest(ab.a2, 1, vcov = NULL) | ||
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| Arellano-Bond autocorrelation test of degree 1 | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital), ... | ||
| normal = -2.9998, p-value = 0.002702 | ||
| alternative hypothesis: autocorrelation present | ||
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| > mtest(ab.a2, 2, vcov = NULL) # -0.434 (reference) | ||
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| Arellano-Bond autocorrelation test of degree 2 | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital), ... | ||
| normal = -0.41575, p-value = 0.6776 | ||
| alternative hypothesis: autocorrelation present | ||
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| > mtest(ab.a2, 1, vcov = vcovHC) | ||
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| Arellano-Bond autocorrelation test of degree 1, vcov: vcovHC | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital), ... | ||
| normal = -2.3456, p-value = 0.01899 | ||
| alternative hypothesis: autocorrelation present | ||
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| > mtest(ab.a2, 2, vcov = vcovHC) | ||
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| Arellano-Bond autocorrelation test of degree 2, vcov: vcovHC | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital), ... | ||
| normal = -0.36744, p-value = 0.7133 | ||
| alternative hypothesis: autocorrelation present | ||
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| > | ||
| > ## Arellano and Bond (1991), table 4 col. b / Windmeijer (2025), table 2 | ||
| > ab.b <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) | ||
| + + log(capital) + lag(log(output), 0:1) | lag(log(emp), 2:99), | ||
| + data = EmplUK, effect = "twoways", model = "twosteps") | ||
| > | ||
| > mtest(ab.b, 1, vcov = NULL) # -2.826 (reference about A/B's m1 in Windmeijer) | ||
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| Arellano-Bond autocorrelation test of degree 1 | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + log(capital) + ... | ||
| normal = -2.4278, p-value = 0.01519 | ||
| alternative hypothesis: autocorrelation present | ||
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| > mtest(ab.b, 2, vcov = NULL) # -0.327 (reference in A/B) | ||
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| Arellano-Bond autocorrelation test of degree 2 | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + log(capital) + ... | ||
| normal = -0.33254, p-value = 0.7395 | ||
| alternative hypothesis: autocorrelation present | ||
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| > mtest(ab.b, 1, vcov = vcovHC) # -1.999 (reference in Windmeijer) | ||
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| Arellano-Bond autocorrelation test of degree 1, vcov: vcovHC | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + log(capital) + ... | ||
| normal = -1.5357, p-value = 0.1246 | ||
| alternative hypothesis: autocorrelation present | ||
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| > mtest(ab.b, 2, vcov = vcovHC) # -0.316 (reference in Windmeijer) | ||
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| Arellano-Bond autocorrelation test of degree 2, vcov: vcovHC | ||
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| data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + log(capital) + ... | ||
| normal = -0.30388, p-value = 0.7612 | ||
| alternative hypothesis: autocorrelation present | ||
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| > | ||
| > | ||
| > proc.time() | ||
| user system elapsed | ||
| 3.89 0.48 4.35 |
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