| 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")