Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - Center for Policy Research, Maxwell School - 2009
Chamberlain (1982) showed that the fixed effects (FE) specification imposes testable restrictions on the coefficients from regressions of all leads and lags of dependent variableson all leads and lags of independent variables. Angrist and Newey (1991) suggested computing this test statistic as...