Arellano bond test eviews
Jul 06, · _ The second question is about Arellano-Bond test for autocorrelation: as you can see in the table of results, I cannot reject the no autocorrelation null hypotheses for both AR(1) and AR(2), but the lag 1 of dependent variable is obviously very important and should be added in the model. Interestingly, though the Arellano and Bond article () is now seen as the source of an estimator, it is entitled Some tests of speciﬁcation for panel data. The instrument sets and use of GMM that largely deﬁne diﬀerence GMM originated with Holtz-Eakin, Newey, and Rosen (). May 11, · Abstract. abar performs the Arellano-Bond () test for autocorrelation. The test was originally proposed for a particular linear Generalized Method of Moments dynamic panel data estimator, but is quite general in its applicability--more general .