Hello,
I have two questions related to the xtabond, xtdpdsys, or xtdpd post-estimation tests.
First, since the Sargan test of overidentifying restrictions is not available for a two-step estimator with the Windmeijer bias-corrected robust VCE: Do I have to run Sargan test just with one-step estimation if two-step errors are biased, or is it really not necessary to test it with vce(robust)? (robust errors have been recommended by STATA due to their bias with the two-step estimation)
Second, does the output of Arellano-Bond test (for zero autocorrelation in first-differenced errors) have to present no significant evidence of serial correlation in the first-differenced errors at order 2 and higher, or could it be insignificant at the 1st order? In other words, does the first order have to always be significant? I appreciate your help, because it is not clear from the STATA manual or from the examples.
Thanks for All Your Help!
Tom
P.S. I have even studied original papers written by Arellano and Bond (1991), Blundell and Bond (1998) and Windmeijer (2005). However, I still do not have the answer to these questions above.
I have two questions related to the xtabond, xtdpdsys, or xtdpd post-estimation tests.
First, since the Sargan test of overidentifying restrictions is not available for a two-step estimator with the Windmeijer bias-corrected robust VCE: Do I have to run Sargan test just with one-step estimation if two-step errors are biased, or is it really not necessary to test it with vce(robust)? (robust errors have been recommended by STATA due to their bias with the two-step estimation)
Second, does the output of Arellano-Bond test (for zero autocorrelation in first-differenced errors) have to present no significant evidence of serial correlation in the first-differenced errors at order 2 and higher, or could it be insignificant at the 1st order? In other words, does the first order have to always be significant? I appreciate your help, because it is not clear from the STATA manual or from the examples.
Thanks for All Your Help!
Tom
P.S. I have even studied original papers written by Arellano and Bond (1991), Blundell and Bond (1998) and Windmeijer (2005). However, I still do not have the answer to these questions above.
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