Power properties of the Sargan test in the presence of measurement errors in dynamic panels

This article investigates the power properties of the Sargan test in the presence of measurement errors in dynamic panel data models. The conclusion from Monte Carlo (MC) simulations and an application on the data used by Arellano and Bond (1991), is that in the very likely case of measurement error...

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Published in:Applied economics letters 2008-04, Vol.15 (5), p.1
Main Authors: Dahlberg, Matz, Mörk, Eva, Tovmo, Per
Format: Article
Language:English
Subjects:
Bias
Economic analysis
Economic models
Measurement errors
Monte Carlo simulation
Studies
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Mörk, Eva
Tovmo, Per
description This article investigates the power properties of the Sargan test in the presence of measurement errors in dynamic panel data models. The conclusion from Monte Carlo (MC) 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 misspecified model and end up with biased results. [PUBLICATION ABSTRACT]
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source EconLit s plnými texty; EBSCOhost Business Source Ultimate; International Bibliography of the Social Sciences (IBSS); Taylor & Francis
subjects Bias
Economic analysis
Economic models
Measurement errors
Monte Carlo simulation
Studies
title Power properties of the Sargan test in the presence of measurement errors in dynamic panels
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