What to do if you can't perform the AR(2) Arellano-Bond test in system GMM because of insufficient time periods (T=3)?

I am estimating a system GMM model with N=5000 and T=4. One time period is lost due to the dependent lagged variable, and so, in practice, T=3. The Arellano-Bond test for serial correlation needs...

14 October 2023 9,022 0 View