@article{Magazzini:340515, recid = {340515}, author = {Magazzini, Laura and Calzolari, Giorgio}, title = {A Lagrange multiplier test for the mean stationarity assumption in dynamic panel-data models}, journal = {Stata Journal}, address = {2023-04}, number = {199-2024-886}, year = {2023}, 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.}, url = {http://ageconsearch.umn.edu/record/340515}, doi = {https://doi.org/10.22004/ag.econ.340515}, }