Dear All,
I am estimating a model for panel data using xtabond2 (system GMM). If
I don't cluster the standard errors, the Arellano-Bond test for AR(2)
in first differences is not significant. However, it becomes
significant if I cluster the standard errors.
My question is the following. If one clusters the standard errors, is
it still important that Arellano-Bond test for AR(2) in first
differences is not significant?
Thanks for any help.
Erasmo
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