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st: AR2 test for autocorrelation

From   John Ebireri <>
To   "" <>
Subject   st: AR2 test for autocorrelation
Date   Fri, 4 Nov 2011 12:55:45 +0000

Hello Statalist users,

I have 2 major problems and need some help on this;

First of all, in using the Systems GMM estimation in a unbalanced panel of 120 observation with 20 countries, i noticed that the output does not include the AR(2) test for autocorrelation. Could this be as a result of the missing values which tends to be large as the number of observations in the ouput is reduced  to only 51 observations? 

Secondly, i do not know if any one eperiences this but using the same data, model specification and ecometric technique (System GMM in this case) on two different Stata versions (Stata 10.2-work and Stata 11-home) generates different outputs (coefficient estimates). Is this a software problem?

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