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 err...

Full description

Saved in:
Bibliographic Details
Published in:Applied economics letters 2008-04, Vol.15 (5), p.349-353
Main Authors: Dahlberg, Matz, Mörk, Eva, Tovmo, Per
Format: Article
Language:English
Subjects:
Business and economics
Dynamic panels
Econometrics
Economics
Ekonometri
Ekonomi
Measurement errors
Nationalekonomi
Panel data
SAMHÄLLSVETENSKAP
Sargan test
Significance tests
SOCIAL SCIENCES
Statistical models
Statistics
Statistik
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:1350-4851
1466-4291
1466-4291
DOI:10.1080/13504850500447414