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Power Properties of the Sargan Test in the Presence of Measurement Errors in Dynamic Panels

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.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-88792
Date January 2008
CreatorsDahlberg, Matz, Mörk, Eva, Tovmo, Per
PublisherUppsala universitet, Nationalekonomiska institutionen, Uppsala universitet, Institutet för bostads- och urbanforskning (IBF), Uppsala universitet, Institutet för arbetsmarknadspolitisk utvärdering (IFAU), NTNU, Trondheim
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeArticle in journal, info:eu-repo/semantics/article, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess
RelationApplied Economics Letters, 1350-4851, 2008, 15:5, s. 349-353

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