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st: interpreting -abar- output


From   "Jason Yackee" <[email protected]>
To   <[email protected]>
Subject   st: interpreting -abar- output
Date   Tue, 5 Sep 2006 16:47:40 -0700

Dear Statalisters,

I am using Stata 9.2 to run the -abar- command on a dynamic panel model.
-abar- performs the Arellano-Bond test for autocorrelation.

Could somebody please explain to me how to interpret the substantive
meaning of the output?  The help file doesn't state what the null
hypothesis is.  I've pasted a sample output (here, for 5 lags).

. abar, lag(5)
Arellano-Bond test for AR(1): z =   0.04  Pr > z = 0.9691
Arellano-Bond test for AR(2): z =   0.28  Pr > z = 0.7761
Arellano-Bond test for AR(3): z =  -0.83  Pr > z = 0.4078
Arellano-Bond test for AR(4): z =  -0.71  Pr > z = 0.4803
Arellano-Bond test for AR(5): z =  -1.02  Pr > z = 0.3066


Thank you for any advice you can offer,

Jason Webb Yackee, PhD Candidate; J.D.
Fellow, Gould School of Law
University of Southern California
[email protected]
Cell: 919-358-3040


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