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st: AW: xtabond - test for autocorrelation


From   "Niko Wrede" <wrede@wiso.uni-koeln.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: xtabond - test for autocorrelation
Date   Fri, 13 Jan 2006 14:12:47 +0100

I assume you have a lagged dependent var in your model.
Since you are using an GMM-estimator, autocorrelation of order 1 is no
problem but the reason for using GMM in order to instrument the endogenuous
variable. You should look at the p-value of the autocorrelation test of
second order. You have problems if there is autocorrelation of second order.
Refer to the original arellano/bond paper (1991) that is cited in - help
xtabond2. By the way: Maybe xtabond2 suits your needs better than xtabond.
Or refer to Greene, Verbeek or Baltagi.

Niko

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Rafael Terra de
Menezes
Gesendet: Freitag, 13. Januar 2006 13:55
An: statalist@hsphsun2.harvard.edu
Betreff: st: xtabond - test for autocorrelation


Dear Stata users,

I'm working with a panel of N=2610 and T=7. I ran my specification with 
xtabond and, according to the results below, the tests for autocorrelation 
indicates that I can reject the hypotesis of no average autocovariance in 
residuals of order 1. I would like to know what should I do to deal with 
this problem. Or is this not a problem at alll?

Thanks

Rafael Terra de Menezes
(Student)
Department of Economics - University of Săo Paulo
Brazil


. xtabond lndo lnro LRF trend, robust

Arellano-Bond dynamic panel-data estimation     Number of obs      =     
13050
Group variable (i): cod                         Number of groups   =      
2610

                                                Wald chi2(4)       =   
2434.80

Time variable (t): ano                          Obs per group: min =

5
                                                               avg =

5
                                                               max =

5

One-step results
----------------------------------------------------------------------------
--
             |               Robust
lndo         |      Coef.   Std. Err.      z    P>|z|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------
-------------+------
lndo         |
          LD |    .080924   .0145315     5.57   0.000     .0524428    
.1094052
lnro         |
          D1 |   .7556548   .0155879    48.48   0.000      .725103    
.7862066
LRF          |
          D1 |  -.0396747   .0030355   -13.07   0.000    -.0456241   
-.0337253
trend        |
          D1 |   .0074261   .0005826    12.75   0.000     .0062843    
.0085679
_cons        |   .0084472   .0007847    10.77   0.000     .0069093    
.0099852
----------------------------------------------------------------------------
--
Arellano-Bond test that average autocovariance in residuals of order 1 is 0:
         H0: no autocorrelation   z = -20.98   Pr > z = 0.0000
Arellano-Bond test that average autocovariance in residuals of order 2 is 0:
         H0: no autocorrelation   z =   1.67   Pr > z = 0.0951


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