st: xtabond - test for autocorrelation

["Rafael Terra de Menezes" <rflterra@hotmail.com>]

Dear Stata users,

I'm working with a panel of N=2610 and T=7. I ran my specification with 
xtabond and, according to the results below, the tests for autocorrelation 
indicates that I can reject the hypotesis of no average autocovariance in 
residuals of order 1. I would like to know what should I do to deal with 
this problem. Or is this not a problem at alll?

Thanks

Rafael Terra de Menezes
(Student)
Department of Economics - University of S�o Paulo
Brazil


. xtabond lndo lnro LRF trend, robust

Arellano-Bond dynamic panel-data estimation     Number of obs      =     
13050
Group variable (i): cod                         Number of groups   =      
2610

                                               Wald chi2(4)       =   
2434.80

Time variable (t): ano                          Obs per group: min =         
5
                                                              avg =         
5
                                                              max =         
5

One-step results
------------------------------------------------------------------------------
            |               Robust
lndo         |      Coef.   Std. Err.      z    P>|z|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------------
lndo         |
         LD |    .080924   .0145315     5.57   0.000     .0524428    
.1094052
lnro         |
         D1 |   .7556548   .0155879    48.48   0.000      .725103    
.7862066
LRF          |
         D1 |  -.0396747   .0030355   -13.07   0.000    -.0456241   
-.0337253
trend        |
         D1 |   .0074261   .0005826    12.75   0.000     .0062843    
.0085679
_cons        |   .0084472   .0007847    10.77   0.000     .0069093    
.0099852
------------------------------------------------------------------------------
Arellano-Bond test that average autocovariance in residuals of order 1 is 0:
        H0: no autocorrelation   z = -20.98   Pr > z = 0.0000
Arellano-Bond test that average autocovariance in residuals of order 2 is 0:
        H0: no autocorrelation   z =   1.67   Pr > z = 0.0951


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