This paper investigates the power properties of the Sargan test in the presence of measurement errors in dynamic panel data models. The conclusion from Monte Carlo simulations, and an application on the data used by Arellano and Bond (1991), is that in the very likely case of measurement errors in either the dependent or any of the independent variables, we will, if we rely on the Sargan test, quite likely accept a mis-specified model and end up with biased results.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-88792 |
| Date | January 2008 |
| Creators | Dahlberg, Matz, Mörk, Eva, Tovmo, Per |
| Publisher | Uppsala universitet, Nationalekonomiska institutionen, Uppsala universitet, Institutet för bostads- och urbanforskning (IBF), Uppsala universitet, Institutet för arbetsmarknadspolitisk utvärdering (IFAU), NTNU, Trondheim |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Article in journal, info:eu-repo/semantics/article, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | Applied Economics Letters, 1350-4851, 2008, 15:5, s. 349-353 |
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