动态面板数据模型中平均平稳性假设的拉格朗日乘子检验

IF 3.2 2区数学 Q1 SOCIAL SCIENCES, MATHEMATICAL METHODS Stata Journal Pub Date : 2023-06-01 DOI:10.1177/1536867X231175276

Laura Magazzini, G. Calzolari

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引用次数: 0

摘要

在本文中，我们描述了xttestms命令，它实现了Magazzini和Calzolari提出的拉格朗日乘数测试（2020，Ecometric Reviews 39:115–134）。该测试验证了动态面板数据模型中初始条件的有效性，这是系统广义矩估计方法一致性所必需的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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.

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来源期刊

Stata Journal 数学-统计学与概率论

CiteScore

7.80

自引率

4.20%

发文量

审稿时长

>12 weeks

期刊介绍： The Stata Journal is a quarterly publication containing articles about statistics, data analysis, teaching methods, and effective use of Stata''s language. The Stata Journal publishes reviewed papers together with shorter notes and comments, regular columns, book reviews, and other material of interest to researchers applying statistics in a variety of disciplines.