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st: GMM system autocorrelation and Hansen test


From   alfredo jimenez palmero <alfredojimenezpalmero@hotmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: GMM system autocorrelation and Hansen test
Date   Sun, 15 Dec 2013 16:23:13 +0000

Dear Statalist users,

I am trying to run a GMM system estimation and I have a couple of questions:

1) My Arellano-Bond AR(2) p-value is 0.96. As far as I know this test shows whether there is autocorrelation and it should not be significant. Since the test is significant (at the 10% level), any idea what I can do to try to fix it?

2) How can I interpret Hansen test? Should it be significant or not?

Thanks in advance

Alfredo 		 	   		  
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