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st: Q. xtabond "goodness of fit"

From   "Noel Campbell" <[email protected]>
To   <[email protected]>
Subject   st: Q. xtabond "goodness of fit"
Date   Tue, 07 Nov 2006 14:52:58 -0600

Caveat 1: A week ago, I didn't know the Arellano-Bond estimator existed,
now I'm trying to use it.
Caveat 2: I'm not much of a time series guy.  I haven't seen a VAR
since grad school.

Q. 1: I have two models with different specifications; they are
identical except in one I use "variable A" and in the other I use
"variable B."  Both appear to perform similarly, easily passing the Wald
test.  Is there a goodness of fit measure I can use to help me select
between the models?

Q. 2: The z-test on some of my estimates indicate AR(2),
which--according to the stata manuals--indicates my estimates are not
consistent.  Is there a way to "quantify" the inconsistency?  Better
yet, is there an accepted way to correct it?

Thanks to all in advance!


Noel D. Campbell
Assoc. Prof. Econ.
U. Central Arkansas
[email protected]

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