Dear all,

I have a question about xtabond.We can use --estat abond--to do the AR test of the error terms.But I want to do AR test step by step.I mean ,firstly, get the error and then use --reg--command.
Here is the example.
Code:
webuse abdata,clear
 xtabond n w k, twostep
 estat abond
 
 Arellano-Bond test for zero autocorrelation in first-differenced errors
  +-----------------------+
  |Order |  z     Prob > z|
  |------+----------------|
  |   1  |-2.4955  0.0126 |
  |   2  |-.52671  0.5984 |
  +-----------------------+
   H0: no autocorrelation

  
 predict e,e
 reg e L.e L2.e
 
 
      Source |       SS           df       MS      Number of obs   =       611
-------------+----------------------------------   F(2, 608)       =   2845.84
       Model |  75.5173265         2  37.7586633   Prob > F        =    0.0000
    Residual |  8.06695695       608  .013268021   R-squared       =    0.9035
-------------+----------------------------------   Adj R-squared   =    0.9032
       Total |  83.5842835       610  .137023416   Root MSE        =    .11519

------------------------------------------------------------------------------
           e |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
           e |
         L1. |      0.681      0.042    16.35   0.000        0.599       0.763
         L2. |      0.254      0.041     6.22   0.000        0.174       0.334
             |
       _cons |     -0.013      0.005    -2.79   0.006       -0.023      -0.004
------------------------------------------------------------------------------
I find that result with --reg-- is different from the result of the command --estat abond--.
Anyone can give some suggestions?I want to know the calculation process behind --estat abond--.

Many thanks in advance.


Best regards.
Raymond