Re: st: AW: Autocorrelation after xtdpdsys

[Angela C <aggela.christou@gmail.com>]

Dear Jan,

thank you very much, your remarks are more than useful.

It still bothers me though, what if we have autocollelation of second
or higher order?

Is there a way (a command or routine) to correct it and take new
autocorrelation-corrected coefficients?

Regards, Angela

2013/2/1 Dithmer, Jan <jdithme@food-econ.uni-kiel.de>:
> Dear Angela,
>
> as is stated in the help file of the program - help xtdpdsys -
> artests(#) specifies the maximum order of the autocorrelation test to be calculated
> It does not correct for anything, it is just a test for autocorrelation of different orders.
> It looks fine in your case, as 1st order autocorrelation may be present but 2nd order must not,
> for the model to be consistent. By the way, your number of instruments is very high. You may
> want to cross-check your results when limiting the lags used for instrumentation and should also
> test the validity of the employed instruments.
>
> Best, Jan
>
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Angela C
> Gesendet: Friday, February 01, 2013 2:20 AM
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: Autocorrelation after xtdpdsys
>
> I am using xtdpdsys to estimate a panel with N=27 and T=17.
>
> the results come out as follows
>
> xtdpdsys Deb Gr INT, lags(1) vce(robust) artests(2)
>
> System dynamic panel-data estimation         Number of obs         =       430
> Group variable: CTY                          Number of groups      =        27
> Time variable: Year
>                                              Obs per group:    min =        14
>                                                                avg =  15.92593
>                                                                max =        16
>
> Number of instruments =    138               Wald chi2(3)          =    677.64
>                                              Prob > chi2           =    0.0000
> One-step results
> ------------------------------------------------------------------------------
>              |               Robust
>    Deb |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
> -------------+----------------------------------------------------------
> -------------+------
>    Deb |
>          L1. |   1.091666   .0627754    17.39   0.000     .9686287    1.214704
>              |
>       Gr |  -104.3667   16.53084    -6.31   0.000    -136.7665   -71.96683
>          INT |   -1.38898   .4177452    -3.32   0.001    -2.207746   -.5702147
>        _cons |   2.437429   2.130174     1.14   0.253    -1.737636    6.612494
> ------------------------------------------------------------------------------
> Instruments for differenced equation
>         GMM-type: L(2/.).Deb
>         Standard: D.Gr D.INT
> Instruments for level equation
>         GMM-type: LD.Deb
>         Standard: _cons
>
>
>
> I then run the Arellano-Bond postestimation test and stata returns:
>
> Arellano-Bond test for zero autocorrelation in first-differenced errors
>   +-----------------------+
>   |Order |  z     Prob > z|
>   |------+----------------|
>   |   1  |-3.4443  0.0006 |
>   |   2  |-.37263  0.7094 |
>   +-----------------------+
>    H0: no autocorrelation
>
> According to my model, the 2nd order autocorrelation appearing in the test has been corrected by the programme (I set artests(2))?
>
> If it was not corrected, is there a way to correct it afterwards and take new, corrected coefficients?
>
> Thank you.
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