Statalist The Stata Listserver

[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

[no subject]

From   "Jo Gardener" <>
Date   Mon, 17 Jul 2006 10:20:57 +0200

Dear all,
using a simple dynamic model (DPD) I currently face following problem:
Model: y=a1+a2*y(t-1)+ ...
xi: xtabond2 y l.y i.year, gmm(y, lag(3!! 4) equ(both) coll) iv(i.year, equ(both)) small rob twostep arte(3)

I use gmm(y, lag(3 4) and not lag(2 4) because the AB-Test for AR(2) - not shown here - says that there is autocorrlation of second order. Thus I cannot use lag(2) as instrument.
However, my question: Can I use lag(3 4), because the 3rd lag is not correlated with the differenced error term?
Following output of the lag(3 4) estimation says, that the differenced residuals show no AR(3) correlation and the Hansen J is ok:
Hansen test of overid. restr.: chi2(3) =   3,72     Prob > chi2 =  0,432
Arellano-Bond test for AR(1) in first diff: z =  -5,76  Pr > z =  0,000
Arellano-Bond test for AR(2) in first diff: z =   2,21  Pr > z =  0,042
Arellano-Bond test for AR(3) in first diff: z =  -0,75  Pr > z =  0,433
I am glad for any response I can get on this issue
Jo gardener



Echte DSL-Flatrate dauerhaft für 0,- Euro*!
"Feel free" mit GMX DSL!
*   For searches and help try:

© Copyright 1996–2021 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index