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From | Evan Markel <markelev@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Failing to reject Arellano-Bond test for AR(1) in first differences imply a random walk? |
Date | Wed, 24 Apr 2013 22:29:54 -0700 |
Dearlistservers, I think I may understand why I fail to reject the Arellano-Bond test for AR(1) in first differences. In the model I've described below, I assume heteroskedasticity and in fact use a two-step GMM estimation where errors are already robust and the use Windmeijer correction. In the presence of heteroskedasticity errors are not independent and identically distributed (iid).