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Re: st: interpreting -abar- output


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: interpreting -abar- output
Date   Wed, 6 Sep 2006 08:54:02 +0100 (BST)

Jason Webb Yackee wrote:

[...]

> 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

[...]

It shows you something that I wouldn't mind seeing in my own models: no
autocorrelation at all for at least the first five lags of your dependent
variable. Needless to say, this is good news for your dynamic panel model,
since the null hypothesis is no autocorrelation.

CLIVE NICHOLAS        |t: 0(044)7903 397793
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps

Whereever you go and whatever you do, just remember this. No matter how
many like you, admire you, love you or adore you, the number of people
turning up to your funeral will be largely determined by local weather
conditions.

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