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RE: st: Arellano-Bond test for AR(2) in first differences after xtivreg2
From
Humaira Asad <[email protected]>
To
STATA HELP <[email protected]>
Subject
RE: st: Arellano-Bond test for AR(2) in first differences after xtivreg2
Date
Sun, 29 Jan 2012 00:13:18 +0000
Hi Kit,
I have tried estimating static GMM using:
xtabond2 y x1 x2 time, iv(L.x1 x2 time) r orthogonal with and without twostep option, but the Sargan and Hansen test get zero as shown below.
Sargan test of overid. restrictions: chi2(0) = 0.00 Prob > chi2 = .
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(0) = 0.00 Prob > chi2 = .
(Robust, but can be weakened by many instruments.)
Kindly suggest what should I do?
Regards,
Humaira
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