Panel GMM Arellano Bover 1995 AR-Test
Posted: 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
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