I'm using SAS Enterprise Guide 5.0 to estimate a dynamic panel model with GMM (Arellano Bond Model). I have an unbalanced panel dataset which consists of about 30000 individuals over 6 years. I'm using the following code:
proc panel data=data_base;
id i t;
clag y(1) / out=data_base_lag;
proc panel data = data_base_lag;
id i t;
model y = y_1 x_1 x_2 x_3 /gmm twostep maxband=4 robust artest=2;
The output is providing the "Fit Statistics", "Sargan Test" and "Parameter Estimates". But the result of the test for autocorrelation in the residuals (ARTEST) is not been provided. The result for this test is the following table, filled with ".".
Pr > Statistic
Do you have any idea why is this happening?
Neto and Lemai,
In my experience, this most often arises from a singular regression that is encountered while calculating the test. If Neto could email me some data that reproduces the problem at Bobby.Gutierrez@sas.com, I'll be glad to take a closer look and recommend a solution.
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