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st: Autocorrelation after xtdpdsys
From
Angela C <[email protected]>
To
[email protected]
Subject
st: Autocorrelation after xtdpdsys
Date
Fri, 1 Feb 2013 03:20:27 +0200
I am using xtdpdsys to estimate a panel with N=27 and T=17.
the results come out as follows
xtdpdsys Deb Gr INT, lags(1) vce(robust) artests(2)
System dynamic panel-data estimation Number of obs = 430
Group variable: CTY Number of groups = 27
Time variable: Year
Obs per group: min = 14
avg = 15.92593
max = 16
Number of instruments = 138 Wald chi2(3) = 677.64
Prob > chi2 = 0.0000
One-step results
------------------------------------------------------------------------------
| Robust
Deb | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
Deb |
L1. | 1.091666 .0627754 17.39 0.000 .9686287 1.214704
|
Gr | -104.3667 16.53084 -6.31 0.000 -136.7665 -71.96683
INT | -1.38898 .4177452 -3.32 0.001 -2.207746 -.5702147
_cons | 2.437429 2.130174 1.14 0.253 -1.737636 6.612494
------------------------------------------------------------------------------
Instruments for differenced equation
GMM-type: L(2/.).Deb
Standard: D.Gr D.INT
Instruments for level equation
GMM-type: LD.Deb
Standard: _cons
I then run the Arellano-Bond postestimation test and stata returns:
Arellano-Bond test for zero autocorrelation in first-differenced errors
+-----------------------+
|Order | z Prob > z|
|------+----------------|
| 1 |-3.4443 0.0006 |
| 2 |-.37263 0.7094 |
+-----------------------+
H0: no autocorrelation
According to my model, the 2nd order autocorrelation appearing in the
test has been corrected by the programme (I set artests(2))?
If it was not corrected, is there a way to correct it afterwards and
take new, corrected coefficients?
Thank you.
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