Dear Statalist members
I ran the following command:
The output shows AR(2) is significant (p < 0.05) and the Hansen test also indicates problems.
Then I tried increasing the laglimit:
In this case, AR(2) remains significant (p = 0.012), while AR(3) does not appear in the output (“.”). The Hansen test, however, no longer shows issues.
My questions are:
1) Is it normal that AR(3) does not appear in the xtabond2 output?
2) Given that AR(2) remains significant (< 5%), does this mean the model results are invalid and cannot be used?
Thank you very much for your guidance.
Best regards,
Hadi.
I ran the following command:
Code:
xtabond2 p0 L.p0 rkfd rbbs yr2 yr4 yr5, gmm(p0, lag(2 .) collapse) gmm(rkfd, lag(2 .) collapse) gmm(rbbs, lag(2 .) collapse) iv(yr2 yr4 yr5) noleveleq twostep robust small
Then I tried increasing the laglimit:
xtabond2 p0 L.p0 rkfd rbbs yr2 yr4 yr5, gmm(p0, lag(3 .) collapse) gmm(rkfd, lag(3 .) collapse) gmm(rbbs, lag(3 .) collapse) iv(yr2 yr4 yr5) noleveleq twostep robust small artests(3)
My questions are:
1) Is it normal that AR(3) does not appear in the xtabond2 output?
2) Given that AR(2) remains significant (< 5%), does this mean the model results are invalid and cannot be used?
Thank you very much for your guidance.
Best regards,
Hadi.

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