Re: [Gretl-users] Test for AR(2) errors: z = NA
Am 04.02.2014 15:08, schrieb Anutechia Asongu:
But my concern persists: after performing the two-step System GMM, the
results for the AR(2) errors test reads 'not applicable'. Can I use the
AR(1) test as the information criterion for the Arellano & Bond
autocorrelation test?
I don't really know what you mean by "information criterion for the
test", but in Arellano-Bond the AR(1) test doesn't tell you anything
that you didn't know already, first-order correlation is/should be in
there by design. So, no.
-sven