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Background:

I have estimated a model using panel data with the Arellano Bond estimator (see e.g., http://www.fordham.edu/economics/mcleod/Elitz-usingArellano%E2%80%93BondGMMEstimators.pdf) and n=300. As it turns out, the distribution of my residuals is significantly different from the normal wrt. skewness and kurtosis.

Question:

Is it possible/how can I infer whether the calculated p-values should be higher or lower given the information available (dist, sd., kurtosis, skewness, etc.)?

I hope my question is sufficiently clear.

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1 Answer 1

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1 – non-normal residuals might indicate poor model fit. Panel-GMM models are quite tricky, something might be wrong with you specification.

2 – Have you tried the robust standard error calculation methods?

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  • $\begingroup$ 1 - Yes, that's true. Problem is that I have a lack of relevant data to correct for it, and need some tip of whether or not my inference now is likely to be "less valid" when correcting. 2 - Yes. $\endgroup$
    – hoyem
    Jan 31, 2014 at 10:11

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