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


From   Humaira Asad <humairaasad@hotmail.com>
To   STATA HELP <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Arellano-Bond test for AR(2) in first differences after xtivreg2
Date   Sun, 29 Jan 2012 00:13:18 +0000

 

 

Hi Kit,

 

I have tried estimating static GMM using:

 

xtabond2 y x1 x2 time, iv(L.x1 x2 time) r orthogonal with and without twostep option, but the Sargan and Hansen test get zero as shown below. 

 

 

Sargan test of overid. restrictions: chi2(0)    =   0.00  Prob > chi2 =      .
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(0)    =   0.00  Prob > chi2 =      .
  (Robust, but can be weakened by many instruments.)


 

Kindly suggest what should I do?

 

Regards,

Humaira

 

 

  		 	   		  
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