Apologies for one error in my question! The sentence about the p-values should have read instead:
"I should expect to see p-values for both the 1st and 2nd order of the -estat abond-test showing *siginifant* test stats, i.e. p-values *lower* than say 0.10."
Sorry for the confusion! Below I am re-posting, this time with the corrected sentence:
> Dear Statalist,
>
> I wanted to confirm if my my derivation and understanding
> is correct: Suppose we assume that in a dynamic model the
> idiosyncratic error is not iid, but rather MA(1). In that
> case, the differenced error would be MA(2). So both the
> first- and the second-order serial correlation of the
> *differenced* error term would be non-zero, whereas the
> third- and higher-order correlations would be zero. Correct
> so far?
>
> In that case, if my assumption of an MA(1) process in the
> level of the error is on target, I should expect to see
> p-values for both the 1st and 2nd order of the -estat abond-
> test showing siginifant test stats, i.e. p-values lower
> than say 0.10.
>
> My first quetion is: is this right? And secondly, is there
> any other test through which I can discern if, say the third
> order correlation is indeed zero as it should be if the
> MA(1) errors assumption is appropriate? Please note that I
> am using an estimator with robust standard errors, so the
> postestimation test -estat sargan- is not available to me.
>
> Many thanks!
> Hewan
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