aneweytest {plm} | R Documentation |
Angrist and Newey's version of the Chamberlain test
aneweytest(formula, data, subset, na.action, index = NULL, ...)
formula |
a symbolic description for the model to be estimated, |
data |
a |
subset |
see |
na.action |
see |
index |
the indexes, |
... |
further arguments. |
Angrist and Newey's test is based on the results of the artifactual regression of the within residuals on the covariates for all the period.
An object of class "htest"
.
Yves Croissant
Angrist, J.D. and Newey, W.K. (1991). Over-identification tests in earnings functions with fixed effects, Journal of Business & Economic Statistics, 9(3), pp. 317–323.
data("RiceFarms", package = "plm") aneweytest(log(goutput) ~ log(seed) + log(totlabor) + log(size), RiceFarms, index = "id")