st: nocons and Arellano-Bond test in xtabond2 command

["V. Sarafidis" <vs242@cam.ac.uk>]

Hello,

I would greatly appreciate any help on this issue: I am using a large 
balanced panel with no missing data, T=12. I am running the same model 
twice using the command xtabond2 with the only difference being the 
inclusion of a constant in the levels equations or not. This is implemented 
by typing "noconstant" in the options.

The constant is statistically significant and in fact the value of the 
autoregressive coefficient is very sensitive to this. In particular, when I 
include a constant, the estimated lagged dependent variable coefficient is 
equal to .5870835 and when I don't include a constant the value equals 
.7270153. Notice that in the fixed effects model the LDV coefficient equals 
.5742592.

So running system GMM with a constant seems to provide only minor 
"improvement" on the LDV coefficient. Normally, the constant is included in 
the levels equations if there are individual-specific fixed effects, but in 
this case, and although it appears to be statistically significant, it 
seems that it does not "work beneficially" in the loose meaning of the 
words. What would you think on this?

In addition, I get the following results on the Arellano-Bond AR tests for 
the first-differenced disturbance.

Model with a constant:

Arellano-Bond test for AR(1) in first differences: z = . Pr > z = . 
Arellano-Bond test for AR(2) in first differences: z = -4.92 Pr > z = 0.000 
Arellano-Bond test for AR(3) in first differences: z = -0.13 Pr > z = 0.895

Model without a constant:

Arellano-Bond test for AR(1) in first differences: z = -17.45 Pr > z = 
0.000 Arellano-Bond test for AR(2) in first differences: z = -4.00 Pr > z = 
0.000 Arellano-Bond test for AR(3) in first differences: z = 0.02 Pr > z = 
0.981

So in the model that includes a constant, I get a "." value for the AR(1) 
test. What does this mean?

Many thanks in advance

Vasilis
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