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re: st: Arellano-Bond test for AR(2) in first differences after xtivreg2


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re: st: Arellano-Bond test for AR(2) in first differences after xtivreg2
Date   Thu, 26 Jan 2012 15:40:12 -0500

<>
How can I calculate Arellano-Bond test for AR(2) in first differences after xtivreg2 withh gmm2s option? I have serached the statalist archives but could not find any solution.


David Roodman's abar (SSC) specifically excludes panel models, but why can't you just use his xtabond2, even if you don't have a lagged DV? It will calculate the A-B tests for AR. E.g., using grunfeld, 

xtabond2 invest mvalue kstock time, iv(L.mvalue kstock time) noleveleq

Kit


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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