Jason Webb Yackee wrote:
[...]
> Could somebody please explain to me how to interpret the substantive
> meaning of the output? The help file doesn't state what the null
> hypothesis is. I've pasted a sample output (here, for 5 lags).
>
> . abar, lag(5)
> Arellano-Bond test for AR(1): z = 0.04 Pr > z = 0.9691
> Arellano-Bond test for AR(2): z = 0.28 Pr > z = 0.7761
> Arellano-Bond test for AR(3): z = -0.83 Pr > z = 0.4078
> Arellano-Bond test for AR(4): z = -0.71 Pr > z = 0.4803
> Arellano-Bond test for AR(5): z = -1.02 Pr > z = 0.3066
[...]
It shows you something that I wouldn't mind seeing in my own models: no
autocorrelation at all for at least the first five lags of your dependent
variable. Needless to say, this is good news for your dynamic panel model,
since the null hypothesis is no autocorrelation.
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