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st: Cluster and xtabond2


From   Erasmo Giambona <e.giambona@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Cluster and xtabond2
Date   Wed, 9 Sep 2009 13:13:52 +0200

Dear All,

I am estimating a model for panel data using xtabond2 (system GMM). If
I don't cluster the standard errors, the Arellano-Bond test for AR(2)
in first differences is not significant. However, it becomes
significant if I cluster the standard errors.

My question is the following. If one clusters the standard errors, is
it still important that Arellano-Bond test for AR(2) in first
differences is not significant?

Thanks for any help.

Erasmo
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