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st: no value for AR(2) test


From   BAO FAN <baofan33@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: no value for AR(2) test
Date   Sun, 4 Oct 2009 23:12:49 -0400

My command is

xi:xtabond2 olf l.olf psy l.psy i.t psym, gmm(olf psy,lag(2 2)) iv(i.t) r

where
olf is "the weeks out of labor market"
psy is "the depression level"
psym is rhe "missing dummy of depression level"

I want to find the causality of depressio on the weeks out of labor market.

The AR(2) test has no value, Stata result is

Arellano-Bond test for AR(2) in first differences: z =      .  Pr > z =      .

I saw some paper said that it needs AR(2) to determine the validity of
lagged variables as the instrument. But it doesn't have it here. How
can I deal with it?

Thanks!

Su

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