Xtabond postestimation - export results to Excel

[Adam Koval]

Dear all,

I estimate a dynamic panel model using xtabond command. Next I use xtabond postestimation command "estat abond" to obtain Arellano-Bond test for zero autocorrelation in first-differenced errors. The results are like the one below:

Arellano-Bond test for zero autocorrelation in first-differenced errors
+-----------------------+
|Order | z Prob > z|
|------+----------------|
| 1 |-2.5735 0.0101 |
| 2 |-1.6586 0.0972 |
+-----------------------+
H0: no autocorrelation

How can I export the results, together with the A-B test results to Excel? I can export the results using outreg2 (below), but how to add the p-values from the test? I'm using Stata 16

xtabond y_var x_var1 xvar_2, maxlag(1) vce(robust)
est store results
estat abond

outreg2 [results] using results.xls stats (coef se)

[Andrew Musau]

outreg2 is from SSC, as you are asked to explain in FAQ Advice #12. The two-tailed Z-test P value is easy to calculate.

webuse abdata
qui xtabond n l(0/1).w l(0/2).(k ys), lags(2) vce(robust)
est sto m1
estat abond
ereturn list
local p1= 2*normal(e(arm1))
local p2= 2*normal(e(arm2))
outreg2 m1 using myfile.xls, seeout replace ///
addstat(Z-stat. no autocorrelation in FD errors (order 1), e(arm1), ///
P-value, `p1', Z-stat. no autocorrelation in FD errors (order 2), e(arm2), P-value, `p2')

Res.:

. estat abond

Arellano-Bond test for zero autocorrelation in first-differenced errors
  +-----------------------+
  |Order |  z     Prob > z|
  |------+----------------|
  |   1  |-3.8272  0.0001 |
  |   2  |-.50783  0.6116 |
  +-----------------------+
   H0: no autocorrelation

   

(1)

VARIABLES
n




L.n
0.720***


(0.149)

L2.n
-0.0916


(0.0582)

w
-0.612***


(0.178)

L.w
0.387**


(0.183)

k
0.361***


(0.0586)

L.k
-0.0612


(0.0718)

L2.k
-0.0289


(0.0352)

ys
0.658***


(0.117)

L.ys
-0.532**


(0.217)

L2.ys
0.0135


(0.147)

Constant
0.562


(0.576)




Observations
611

Number of id
140

Z-stat. no autocorrelation in FD errors (order 1)
-3.827

P-value
0.000130

Z-stat. no autocorrelation in FD errors (order 2)
-0.508

P-value
0.612


                                                                Robust standard errors in parentheses
                                                                   *** p<0.01, ** p<0.05, * p<0.1