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st: GMM system autocorrelation and Hansen test
From
alfredo jimenez palmero <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: GMM system autocorrelation and Hansen test
Date
Sun, 15 Dec 2013 16:23:13 +0000
Dear Statalist users,
I am trying to run a GMM system estimation and I have a couple of questions:
1) My Arellano-Bond AR(2) p-value is 0.96. As far as I know this test shows whether there is autocorrelation and it should not be significant. Since the test is significant (at the 10% level), any idea what I can do to try to fix it?
2) How can I interpret Hansen test? Should it be significant or not?
Thanks in advance
Alfredo
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