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
------------------------------------------------------------------------------Anyone can give some suggestions?I want to know the calculation process behind --estat abond--.
Many thanks in advance.
Best regards.
Raymond
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