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

• Autores: Laura Magazzini, Giorgio Calzolar
• Localización: The Stata journal, ISSN 1536-867X, Vol. 23, Nº. 2, 2023, págs. 418-437
• Idioma: inglés
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• Resumen

  • In this article, we describe the xttestms command, which implements the Lagrange multiplier test proposed by Magazzini and Calzolari (2020, Econo- metric 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.