A Lagrange multiplier test for the mean stationarity assumption in dynamic panel-data models

Abstract

In this article, we describe the xttestms command, which implements the Lagrange multiplier test proposed by Magazzini and Calzolari (2020, Econometric Reviews 39: 115–134). The test verifies the validity of the initial conditions in dynamic panel-data models, which is required for consistency of the system generalized method of moments estimator.

Keywords

st0714 xttestms panel data dynamic model generalized method of moments estimation initial conditions test of overidentifying restrictions Lagrange multiplier test

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