If you actually have a single ticket on your PNR (booking) then American will check your bags through all the way to your destination.
Note that while AA is a oneworld airline, Etihad is not. It's also possible (but quite uncommon) to have two separate tickets on a single PNR. If your booking is comprised of two tickets, one for the AA segment and another one for the EY segments, then American will only check your bags to Chicago, and you will have to transfer your bags yourself at O'Hare.
For customers holding a single ticket that involves other airline flights down-line from American, American will continue to through-check their bags to the next point of stopover.
For customers holding a separate ticket for down-line connecting flights booked in the same PNR, American will continue to through-check bags exclusively to oneworld airlines to the point of stopover and collect the other airlines’ applicable baggage charges.
Check your confirmation email from Etihad to see if you have two different ticket numbers for the AA and EY segments, or the same ticket number.
In both cases, Etihad will transfer your bags at Abu Dhabi, as you have a single booking and Etihad operates both segments in and out of AUH.