Panel GMM Arellano Bover 1995 AR-Test

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Hank878
Posts: 1
Joined: Thu Jun 09, 2016 9:01 am

Panel GMM Arellano Bover 1995 AR-Test

Postby Hank878 » Thu Jun 09, 2016 9:15 am

Hi everyone,

I´m working with a Panel dataset and would like to use GMM for a robustness check. Therefore I´m using the Arellano Bover (1995) estimator (transformation method in GMM: orthogonal deviation in eviews). This works out fine, but I would like to test for autocorrelation, so I would like to conduct the "Arellano-Bond serial correlation". I tried to use the canned routine in eviews for that, but actually this is not working for the orthogonal deviation method. Does anybody know a solution for that problem? Is there a code or addin I can use.
Could you please help me?
Is it necessary to report the AR(1) and AR(2) with the output or is it enough to discuss the J-Statistics?

Thanks a lot in advance!!
Hank

marcin.czaplicki
Posts: 1
Joined: Tue Dec 22, 2020 5:55 pm

Re: Panel GMM Arellano Bover 1995 AR-Test

Postby marcin.czaplicki » Tue Dec 22, 2020 5:59 pm

Hi,

did you by any chance receive an answer to your question, or have found a solution on your own? I have exactly the same problem and do not know how to tackle it...

Marcin


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