Dear Rafael,
First order serial correlation isn't a problem for the estimation with
xtabond, also not for xtabond2. But second order serial correlation would be
a problem. But in your case z is too small for that. So everything is ok!
Best,
Mich�le
----- Original Message -----
From: "Rafael Terra de Menezes" <[email protected]>
To: <[email protected]>
Sent: Friday, January 13, 2006 1:54 PM
Subject: st: xtabond - test for autocorrelation
> Dear Stata users,
>
> I'm working with a panel of N=2610 and T=7. I ran my specification with
> xtabond and, according to the results below, the tests for autocorrelation
> indicates that I can reject the hypotesis of no average autocovariance in
> residuals of order 1. I would like to know what should I do to deal with
> this problem. Or is this not a problem at alll?
>
> Thanks
>
> Rafael Terra de Menezes
> (Student)
> Department of Economics - University of S�o Paulo
> Brazil
>
>
> . xtabond lndo lnro LRF trend, robust
>
> Arellano-Bond dynamic panel-data estimation Number of obs =
> 13050
> Group variable (i): cod Number of groups =
> 2610
>
> Wald chi2(4) =
> 2434.80
>
> Time variable (t): ano Obs per group: min =
> 5
> avg =
> 5
> max =
> 5
>
> One-step results
> --------------------------------------------------------------------------
----
> | Robust
> lndo | Coef. Std. Err. z P>|z| [95% Conf.
> Interval]
> -------------+------------------------------------------------------------
----
> lndo |
> LD | .080924 .0145315 5.57 0.000 .0524428
> .1094052
> lnro |
> D1 | .7556548 .0155879 48.48 0.000 .725103
> .7862066
> LRF |
> D1 | -.0396747 .0030355 -13.07 0.000 -.0456241
> -.0337253
> trend |
> D1 | .0074261 .0005826 12.75 0.000 .0062843
> .0085679
> _cons | .0084472 .0007847 10.77 0.000 .0069093
> .0099852
> --------------------------------------------------------------------------
----
> Arellano-Bond test that average autocovariance in residuals of order 1 is
0:
> H0: no autocorrelation z = -20.98 Pr > z = 0.0000
> Arellano-Bond test that average autocovariance in residuals of order 2 is
0:
> H0: no autocorrelation z = 1.67 Pr > z = 0.0951
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
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