Test for serial correlation in a panel GMM equation using the Arellano-Bond test.
Tests for first and second order autocorrelation amongst the residuals of an equation estimated by GMM with first differences in a panel workfile. If the underlying errors are i.i.d, we would expect the first differences to be negatively first order serially correlated, and not display second order correlation.
Syntax
eq_name.abtest(options)
Options
p | Print output from the test. |
Examples
equation eq1.gmm(cx=fd, per=f, gmm=perwhite, iter=oneb, levelper) n n(-1) n(-2) w w(-1) k ys ys(-1) @ @dyn(n,-2) w w(-1) k ys ys(-1)
eq1.abtest
estimates an equation using GMM with first difference fixed effects, and then tests for first and second order autocorrelation.
Cross-references