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Re: st: Failing to reject Arellano-Bond test for AR(1) in first differences imply a random walk?
From
Evan Markel <[email protected]>
To
[email protected]
Subject
Re: st: Failing to reject Arellano-Bond test for AR(1) in first differences imply a random walk?
Date
Wed, 24 Apr 2013 22:29:54 -0700
Dearlistservers,
I think I may understand why I fail to reject the Arellano-Bond test
for AR(1) in first differences. In the model I've described below, I
assume heteroskedasticity and in fact use a two-step GMM estimation
where errors are already robust and the use Windmeijer correction. In
the presence of heteroskedasticity errors are not independent and
identically distributed (iid).