Xtabond - Exporting p values of Arellano Bond test

[Jala Youssef]

Hi everyone

I would like to export the p values of the Arellano Bond test for autocorrelation to my Excel output (the post estimation command of xtabond: estat abond). I am using the below code but it does not properly export the p value for the test for order 2. I would be grateful if you could advise what would be the error in my code.

Thanks in advance.

Jala




local ivar1 a
local ivar2 b
local ivar3 c

forv i=1/3 {
xi: xtabond y control1 control2 control3 `ivar`i'' i.year, vce(gmm) twostep
estat abond
local p1= 2*normal(e(arm1))
local p2= 2*normal(e(arm2))
outreg2 using "$temp_dir\results.xls", keep(l.y control1 control2 control3 `ivar`i'') label addtext(Time fixed effects, Yes) addstat(Z-stat. Arellano Bond test of autocorrelation in FD errors (order 1), e(arm1), P-value of Arellano Bond test of autocorrelation in FD errors (order 1), `p1', Z-stat. Arellano Bond test of autocorrelation in FD errors (order 2), e(arm2), P-value of Arellano Bond test of autocorrelation in FD errors (order 2), `p2')
}

[Andrew Musau]

xtabond and outreg2 are from SSC, as you are asked to explain (FAQ Advice #12). You do not present a reproducible example or show any output.

but it does not properly export the p value for the test for order 2

What does this mean? You get a p-value, but it is incorrect? Show us an example.

[Jala Youssef]

Thanks a lot Andrew Musau for your prompt reply. Please find below an example:


This is what I get in the regression:

Arellano–Bond test for zero autocorrelation in first-differenced errors
H0: No autocorrelation

Order z Prob > z

1 -1.4737 0.1406
2 .89763 0.3694




And this is what gets exported to Excel:

Z-stat. Arellano Bond test of autocorrelation in FD errors (order 1)	-1.474
P-value of Arellano Bond test of autocorrelation in FD errors (order 1)	0.141
Z-stat. Arellano Bond test of autocorrelation in FD errors (order 2)	0.898
P-value of Arellano Bond test of autocorrelation in FD errors (order 2)	1.631

[Andrew Musau]

You need

di 2*normal(-abs(`e(arm2)'))

i.e.,

di 2*normal(-abs(.89763))

Res.:

. di 2*normal(-abs(.89763))
.36938284

[Jala Youssef]

Andrew Musau I am sorry for the too many questions. I added di 2*normal(-abs(`e(arm2)')) after local p2= 2*normal(e(arm2)) and I still get the same error.

[Andrew Musau]

Sorry, I did not elaborate on my reply. Your formula works fine if the statistic is negative, but if it is positive, we need to make it negative. Therefore, to guarantee that it is negative regardless of the sign of the statistic, we use the -abs()- function that takes the absolute value of the statistic, and then we add a negative sign in front of it. So #4 implies the following modifications to your code:

forv i=1/3 {
xi: xtabond y control1 control2 control3 `ivar`i'' i.year, vce(gmm) twostep
estat abond
local p1= 2*normal(-abs(`e(arm1)'))
local p2= 2*normal(-abs(`e(arm2)'))
outreg2 using "$temp_dir\results.xls", keep(l.y control1 control2 control3 `ivar`i'') label addtext(Time fixed effects, Yes) addstat(Z-stat. Arellano Bond test of autocorrelation in FD errors (order 1), e(arm1), P-value of Arellano Bond test of autocorrelation in FD errors (order 1), `p1', Z-stat. Arellano Bond test of autocorrelation in FD errors (order 2), e(arm2), P-value of Arellano Bond test of autocorrelation in FD errors (order 2), `p2')
}

[Jala Youssef]

Thanks a lot Andrew Musau. This is super useful, it works perfectly.

[Jala Youssef]

Dear Andrew Musau

On a related front to my previous question, in case I am running the regressions this time separately and not in a loop, please find below code. I would be grateful if you could advise on the outreg2 command since it is not working. Thanks in advance.

Jala



xi: xtabond y x1 x2 x3 i.year, vce(gmm) twostep
estat abond
local p1_eq1 = 2*normal(-abs(`e(arm1)'))
local p2_eq1 = 2*normal(-abs(`e(arm2)'))
est store eq1

xi: xtabond y x1 x3 i.year, vce(gmm) twostep
estat abond
local p1_eq2 = 2*normal(-abs(`e(arm1)'))
local p2_eq2 = 2*normal(-abs(`e(arm2)'))
est store eq2


outreg2 [eq1] using "$temp_dir\results.xls", label addtext(Time fixed effects, Yes) addstat(Z-stat. Arellano Bond test of autocorrelation in FD errors (order 1), e(arm1), P-value of Arellano Bond test of autocorrelation in FD errors (order 1), `p1_eq1', Z-stat. Arellano Bond test of autocorrelation in FD errors (order 2), e(arm2), P-value of Arellano Bond test of autocorrelation in FD errors (order 2), `p2_eq1')

outreg2 [eq2] using "$temp_dir\results.xls", label addtext(Time fixed effects, Yes) addstat(Z-stat. Arellano Bond test of autocorrelation in FD errors (order 1), e(arm1), P-value of Arellano Bond test of autocorrelation in FD errors (order 1), `p1_eq2', Z-stat. Arellano Bond test of autocorrelation in FD errors (order 2), e(arm2), P-value of Arellano Bond test of autocorrelation in FD errors (order 2), `p2_eq2')