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st: Arellano-Bond and second-order autocorrelation


From   "Timothy T. Brown" <tbpetris@uclink.berkeley.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Arellano-Bond and second-order autocorrelation
Date   Wed, 23 Oct 2002 12:25:20 -0700

Hi,

I am running an xtabond on 11 years of panel data and the test for
second-order autocorrelation is accompanied by the following note and shows
that no test has been done:

-----------------------------------------------------------------------
note: the residuals and the L(2) residuals have no obs in common
      The AR(2) is trivially zero

Arellano-Bond test that average autocovariance in residuals of order 2 is 0:
         H0: no autocorrelation   z =      .   Pr > z =      .
-----------------------------------------------------------------------

Why might this occur?  Might I be having a problem with my data, the
specification I am using, both, or neither?

Thanks,

-Tim


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