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st: FW: GMM system autocorrelation and Hansen test


From   alfredo jimenez palmero <alfredojimenezpalmero@hotmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: FW: GMM system autocorrelation and Hansen test
Date   Mon, 16 Dec 2013 10:15:25 +0000

Dear Statalist users, 

yesteday I made a mistake in my message, my p-avalue is not 0.96 but 0.096 (that is why is significant at the 10% level). This was the original post:


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




----------------------------------------
> From: alfredojimenezpalmero@hotmail.com
> To: statalist@hsphsun2.harvard.edu
> Subject: 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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