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aneweytest

Angrist and Newey's version of Chamberlain test for fixed effects

Description

Angrist and Newey's version of the Chamberlain test

Usage

aneweytest(formula, data, subset, na.action, index = NULL, ...)

Arguments

formula

a symbolic description for the model to be estimated,
data

a data.frame,
subset

see lm(),
na.action

see lm(),
index

the indexes,
...

further arguments.

Details

Angrist and Newey's test is based on the results of the artifactual regression of the within residuals on the covariates for all the periods.

Value

An object of class "htest".

Author(s)

Yves Croissant

References

Angrist JD, Newey WK (1991). “Over-identification tests in earnings functions with fixed effects.” Journal of Business \& Economic Statistics, 9(3), 317–323.

See Also

piest() for Chamberlain's test

Examples

data("RiceFarms", package = "plm")
aneweytest(log(goutput) ~ log(seed) + log(totlabor) + log(size), RiceFarms, index = "id")
plm

Linear Models for Panel Data

v2.4-1
GPL (>= 2)
Authors
Yves Croissant [aut, cre], Giovanni Millo [aut], Kevin Tappe [aut], Ott Toomet [ctb], Christian Kleiber [ctb], Achim Zeileis [ctb], Arne Henningsen [ctb], Liviu Andronic [ctb], Nina Schoenfelder [ctb]
Initial release
2021-03-02

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