abtest |

Test for serial correlation in a panel GMM equation using the Arellano-Bond test.

Tests for first and second order autocorrelation amongst the residuals of an equation estimated by GMM with first differences in a panel workfile. If the underlying errors are i.i.d, we would expect the first differences to be negatively first order serially correlated, and not display second order correlation.

Syntax

eq_name.abtest(options)

Options

p | Print output from the test. |

Examples

equation eq1.gmm(cx=fd, per=f, gmm=perwhite, iter=oneb, levelper) n n(-1) n(-2) w w(-1) k ys ys(-1) @ @dyn(n,-2) w w(-1) k ys ys(-1)

eq1.abtest

estimates an equation using GMM with first difference fixed effects, and then tests for first and second order autocorrelation.

Cross-references

See
“Arellano-Bond Serial Correlation Testing” for discussion.