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st: FW: GMM system autocorrelation and Hansen test
From
alfredo jimenez palmero <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: FW: GMM system autocorrelation and Hansen test
Date
Mon, 16 Dec 2013 10:15:25 +0000
Dear Statalist users,
yesteday I made a mistake in my message, my p-avalue is not 0.96 but 0.096 (that is why is significant at the 10% level). This was the original post:
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
----------------------------------------
> From: [email protected]
> To: [email protected]
> Subject: 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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