Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
提出并检验了面板数据动态模型在广义矩估计后的设定检验方法，包括序列相关检验、过度识别检验和豪斯曼检验，并用模拟和实际就业数据评估其表现。
This paper presents specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments (GMM), and studies the practical performance of these procedures using both generated and real data. Our GMM estimator optimally exploits all the linear moment restrictions that follow from the assumption of no serial correlation in the errors, in an equation which contains individual effects, lagged dependent variables and no strictly exogenous variables. We propose a test of serial correlation based on the GMM residuals and compare this with Sargan tests of over-identifying restrictions and Hausman specification tests.