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add info about replication status
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@tappek
tappek committed Jan 5, 2025
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32 changes: 16 additions & 16 deletions inst/tests/test_mtest.R
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Original file line number Diff line number Diff line change
Expand Up @@ -8,10 +8,10 @@ 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) # -3.9394 (p = 0.0001) xtabond manual, example 1
mtest(ab.a1, 2, vcov = NULL) # -0.54239 (p = 0.5876) xtabond manual, example 1
mtest(ab.a1, 1, vcov = vcovHC) # -3.600 (p = 0.000) (reference DPD/Ox abest3.out) / -3.5996 (p = 0.0003) xtabond manual, example 2
mtest(ab.a1, 2, vcov = vcovHC) # -0.516 (p = 0.606) (reference A/B and DPD/Ox abest3.out) / -0.51603 (p = 0.6058) xtabond manual, example 2
mtest(ab.a1, 1, vcov = NULL) # -3.9394 (p = 0.0001) xtabond manual, example 1 | nearly replicates with plm 2.6-4 and dev version
mtest(ab.a1, 2, vcov = NULL) # -0.54239 (p = 0.5876) xtabond manual, example 1 | nearly replicates with plm 2.6-4 and dev version
mtest(ab.a1, 1, vcov = vcovHC) # -3.600 (p = 0.000) (reference DPD/Ox abest3.out) / -3.5996 (p = 0.0003) xtabond manual, example 2 | plm 2.6-4 errors, dev version exactly replicates
mtest(ab.a1, 2, vcov = vcovHC) # -0.516 (p = 0.606) (reference A/B and DPD/Ox abest3.out) / -0.51603 (p = 0.6058) xtabond manual, example 2 | plm 2.6-4 errors, dev version exactly replicates

# Windmeijer (2005), table 2, onestep with corrected std. err
# A/B (1991) model from col. b BUT as one-step model
Expand All @@ -20,10 +20,10 @@ ab.b.onestep <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1)
data = EmplUK, effect = "twoways", model = "onestep")
# NB: coef match, non-robust std. errors do not match abest1.out

mtest(ab.b.onestep, 1, vcov = NULL) # -3.409 (p = 0.001) (reference in DPD/Ox abest1.out)
mtest(ab.b.onestep, 2, vcov = NULL) # -0.3695 (p = 0.712) (reference in DPD/Ox abest1.out)
mtest(ab.b.onestep, 1, vcov = vcovHC) # -2.493 (reference in Windmeijer) / -2.493 (p = 0.013) DPD/Ox abest1.out
mtest(ab.b.onestep, 2, vcov = vcovHC) # -0.359 (reference in Windmeijer) / -0.3594 (p = 0.719) DPD/Ox abest1.out
mtest(ab.b.onestep, 1, vcov = NULL) # -3.409 (p = 0.001) (reference in DPD/Ox abest1.out) | nearly replicates with plm 2.6-4 and dev version
mtest(ab.b.onestep, 2, vcov = NULL) # -0.3695 (p = 0.712) (reference in DPD/Ox abest1.out) | nearly replicates with plm 2.6-4 and dev version
mtest(ab.b.onestep, 1, vcov = vcovHC) # -2.493 (reference in Windmeijer) / -2.493 (p = 0.013) DPD/Ox abest1.out | plm 2.6-4 errors, dev version exactly replicates
mtest(ab.b.onestep, 2, vcov = vcovHC) # -0.359 (reference in Windmeijer) / -0.3594 (p = 0.719) DPD/Ox abest1.out | plm 2.6-4 errors, dev version exactly replicates



Expand All @@ -34,17 +34,17 @@ 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) # -3.000 (p = 0.003) (reference DPD/Ox in abest3.out)
mtest(ab.a2, 2, vcov = NULL) # -0.434 (reference A/B) / DPD/Ox has -0.4158 (p = 0.678) in abest3.out, see comment in footnote 7, p. 32
mtest(ab.a2, 1, vcov = vcovHC) # -2.1255 (p = 0.0335) xtabond manual, example 4
mtest(ab.a2, 2, vcov = vcovHC) # -0.35166 (p = 0.7251) xtabond manual, example 4
mtest(ab.a2, 1, vcov = NULL) # -3.000 (p = 0.003) (reference DPD/Ox in abest3.out) | replicates with plm 2.6-4 and dev version
mtest(ab.a2, 2, vcov = NULL) # -0.434 (reference A/B) / DPD/Ox has -0.4158 (p = 0.678) in abest3.out, see comment in footnote 7, p. 32 | replicates with plm 2.6-4 and dev version
mtest(ab.a2, 1, vcov = vcovHC) # -2.1255 (p = 0.0335) xtabond manual, example 4 | does only nearly replicate with plm 2.6-4 and dev version
mtest(ab.a2, 2, vcov = vcovHC) # -0.35166 (p = 0.7251) xtabond manual, example 4 | does only nearly replicate with plm 2.6-4 and dev version

## Arellano and Bond (1991), table 4 col. b / Windmeijer (2005), 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) / DPD/Ox has -2.428 (p = 0.015) in abest1.out
mtest(ab.b, 2, vcov = NULL) # -0.327 (reference in A/B and in Windmeijer) / DPD/Ox has -0.3325 (p = 0.739) in abest1.out, explanation in footnote 7 on p. 32
mtest(ab.b, 1, vcov = vcovHC) # -1.999 (reference in Windmeijer)
mtest(ab.b, 2, vcov = vcovHC) # -0.316 (reference in Windmeijer)
mtest(ab.b, 1, vcov = NULL) # -2.826 (reference about A/B's m1 in Windmeijer) / DPD/Ox has -2.428 (p = 0.015) in abest1.out | replicates with plm 2.6-4 and dev version
mtest(ab.b, 2, vcov = NULL) # -0.327 (reference in A/B and in Windmeijer) / DPD/Ox has -0.3325 (p = 0.739) in abest1.out, explanation in footnote 7 on p. 32 | replicates with plm 2.6-4 and dev version
mtest(ab.b, 1, vcov = vcovHC) # -1.999 (reference in Windmeijer) / no DPD/Ox and no xtabond reference | does only nearly replicate with plm 2.6-4 and dev version
mtest(ab.b, 2, vcov = vcovHC) # -0.316 (reference in Windmeijer) / no DPD/Ox and no xtabond reference | does only nearly replicate with plm 2.6-4 and dev version
34 changes: 17 additions & 17 deletions inst/tests/test_mtest.Rout.save
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Original file line number Diff line number Diff line change
Expand Up @@ -25,31 +25,31 @@ Type 'q()' to quit R.
+ + 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) # -3.9394 (p = 0.0001) xtabond manual, example 1
> mtest(ab.a1, 1, vcov = NULL) # -3.9394 (p = 0.0001) xtabond manual, example 1 | nearly replicates with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 1

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

> mtest(ab.a1, 2, vcov = NULL) # -0.54239 (p = 0.5876) xtabond manual, example 1
> mtest(ab.a1, 2, vcov = NULL) # -0.54239 (p = 0.5876) xtabond manual, example 1 | nearly replicates with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 2

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

> mtest(ab.a1, 1, vcov = vcovHC) # -3.600 (p = 0.000) (reference DPD/Ox abest3.out) / -3.5996 (p = 0.0003) xtabond manual, example 2
> mtest(ab.a1, 1, vcov = vcovHC) # -3.600 (p = 0.000) (reference DPD/Ox abest3.out) / -3.5996 (p = 0.0003) xtabond manual, example 2 | plm 2.6-4 errors, dev version exactly replicates

Arellano-Bond autocorrelation test of degree 1, vcov: vcovHC

data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital), ...
normal = -3.5996, p-value = 0.0003187
alternative hypothesis: autocorrelation present

> mtest(ab.a1, 2, vcov = vcovHC) # -0.516 (p = 0.606) (reference A/B and DPD/Ox abest3.out) / -0.51603 (p = 0.6058) xtabond manual, example 2
> mtest(ab.a1, 2, vcov = vcovHC) # -0.516 (p = 0.606) (reference A/B and DPD/Ox abest3.out) / -0.51603 (p = 0.6058) xtabond manual, example 2 | plm 2.6-4 errors, dev version exactly replicates

Arellano-Bond autocorrelation test of degree 2, vcov: vcovHC

Expand All @@ -65,31 +65,31 @@ alternative hypothesis: autocorrelation present
+ data = EmplUK, effect = "twoways", model = "onestep")
> # NB: coef match, non-robust std. errors do not match abest1.out
>
> mtest(ab.b.onestep, 1, vcov = NULL) # -3.409 (p = 0.001) (reference in DPD/Ox abest1.out)
> mtest(ab.b.onestep, 1, vcov = NULL) # -3.409 (p = 0.001) (reference in DPD/Ox abest1.out) | nearly replicates with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 1

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

> mtest(ab.b.onestep, 2, vcov = NULL) # -0.3695 (p = 0.712) (reference in DPD/Ox abest1.out)
> mtest(ab.b.onestep, 2, vcov = NULL) # -0.3695 (p = 0.712) (reference in DPD/Ox abest1.out) | nearly replicates with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 2

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

> mtest(ab.b.onestep, 1, vcov = vcovHC) # -2.493 (reference in Windmeijer) / -2.493 (p = 0.013) DPD/Ox abest1.out
> mtest(ab.b.onestep, 1, vcov = vcovHC) # -2.493 (reference in Windmeijer) / -2.493 (p = 0.013) DPD/Ox abest1.out | plm 2.6-4 errors, dev version exactly replicates

Arellano-Bond autocorrelation test of degree 1, vcov: vcovHC

data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + log(capital) + ...
normal = -2.4934, p-value = 0.01265
alternative hypothesis: autocorrelation present

> mtest(ab.b.onestep, 2, vcov = vcovHC) # -0.359 (reference in Windmeijer) / -0.3594 (p = 0.719) DPD/Ox abest1.out
> mtest(ab.b.onestep, 2, vcov = vcovHC) # -0.359 (reference in Windmeijer) / -0.3594 (p = 0.719) DPD/Ox abest1.out | plm 2.6-4 errors, dev version exactly replicates

Arellano-Bond autocorrelation test of degree 2, vcov: vcovHC

Expand All @@ -107,31 +107,31 @@ alternative hypothesis: autocorrelation present
+ + 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) # -3.000 (p = 0.003) (reference DPD/Ox in abest3.out)
> mtest(ab.a2, 1, vcov = NULL) # -3.000 (p = 0.003) (reference DPD/Ox in abest3.out) | replicates with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 1

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

> mtest(ab.a2, 2, vcov = NULL) # -0.434 (reference A/B) / DPD/Ox has -0.4158 (p = 0.678) in abest3.out, see comment in footnote 7, p. 32
> mtest(ab.a2, 2, vcov = NULL) # -0.434 (reference A/B) / DPD/Ox has -0.4158 (p = 0.678) in abest3.out, see comment in footnote 7, p. 32 | replicates with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 2

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

> mtest(ab.a2, 1, vcov = vcovHC) # -2.1255 (p = 0.0335) xtabond manual, example 4
> mtest(ab.a2, 1, vcov = vcovHC) # -2.1255 (p = 0.0335) xtabond manual, example 4 | does only nearly replicate with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 1, vcov: vcovHC

data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital), ...
normal = -2.1255, p-value = 0.03355
alternative hypothesis: autocorrelation present

> mtest(ab.a2, 2, vcov = vcovHC) # -0.35166 (p = 0.7251) xtabond manual, example 4
> mtest(ab.a2, 2, vcov = vcovHC) # -0.35166 (p = 0.7251) xtabond manual, example 4 | does only nearly replicate with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 2, vcov: vcovHC

Expand All @@ -145,31 +145,31 @@ alternative hypothesis: autocorrelation present
+ + 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) / DPD/Ox has -2.428 (p = 0.015) in abest1.out
> mtest(ab.b, 1, vcov = NULL) # -2.826 (reference about A/B's m1 in Windmeijer) / DPD/Ox has -2.428 (p = 0.015) in abest1.out | replicates with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 1

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

> mtest(ab.b, 2, vcov = NULL) # -0.327 (reference in A/B and in Windmeijer) / DPD/Ox has -0.3325 (p = 0.739) in abest1.out, explanation in footnote 7 on p. 32
> mtest(ab.b, 2, vcov = NULL) # -0.327 (reference in A/B and in Windmeijer) / DPD/Ox has -0.3325 (p = 0.739) in abest1.out, explanation in footnote 7 on p. 32 | replicates with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 2

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

> mtest(ab.b, 1, vcov = vcovHC) # -1.999 (reference in Windmeijer)
> mtest(ab.b, 1, vcov = vcovHC) # -1.999 (reference in Windmeijer) / no DPD/Ox and no xtabond reference | does only nearly replicate with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 1, vcov: vcovHC

data: log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + log(capital) + ...
normal = -1.5385, p-value = 0.1239
alternative hypothesis: autocorrelation present

> mtest(ab.b, 2, vcov = vcovHC) # -0.316 (reference in Windmeijer)
> mtest(ab.b, 2, vcov = vcovHC) # -0.316 (reference in Windmeijer) / no DPD/Ox and no xtabond reference | does only nearly replicate with plm 2.6-4 and dev version

Arellano-Bond autocorrelation test of degree 2, vcov: vcovHC

Expand All @@ -180,4 +180,4 @@ alternative hypothesis: autocorrelation present
>
> proc.time()
user system elapsed
2.39 0.34 2.73
2.70 0.45 3.12

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