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st: Arellano-Bond tests in xtabond2


From   "joserra coco" <pereastroika@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Arellano-Bond tests in xtabond2
Date   Wed, 31 Aug 2005 05:43:04 -0700

Hi all,

I would appreciate if anybody could offer some insight to this problem: I am using xtabond2 in a panel that has very low T (5 observations per cross section). When specifying xtabond2, I am never able to get the Arellano-Bond tests for autocorrelation. This would be an example of the way I am setting up the command:

xtabond2 y x1 x2 x3 x4 x5 x6 x7 , twostep robust small ivstyle(x1 x2 x3, equation(both)) gmmstyle(x4 x5 x6 x7, equation(levels) passthru)

For the gmmstyle options, only specifications that used the equation in levels and passthru delivered a number of instruments greater than regressors, which therefore also allow me to am able to get the Hansen test. However I never get the AB tests. Any thoughts?.

Thanks so much,
J.

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