sebastian Kripfganz
Thanks for your help, really appreciate.
You mention in your last post that
.
1.I read about the assumption regarding the exogenous of the variables but I have to confess that I am not 100 sure about that. Any advice on that?
2. I checked the specifications tests and obtained the following results. the AR(2) is small can I anyway conclude to the validity of my variables, model choice?
Many Thanks
Thanks for your help, really appreciate.
You mention in your last post that
provided that you can assume that your regressors and control variables (besides the lagged dependent variable) are strictly exogenous. If that is a good assumption or not depends on your underlying economic theory. In addition, you would need to check the usual specification tests (Arellano-Bond test, Hansen test).
1.I read about the assumption regarding the exogenous of the variables but I have to confess that I am not 100 sure about that. Any advice on that?
2. I checked the specifications tests and obtained the following results. the AR(2) is small can I anyway conclude to the validity of my variables, model choice?
Many Thanks
Code:
xtabond2 L(0/2).fh_polity2 lnQuantity lnQuantity2 lnwdi_gdpcapcur al_ethnic lnross_oil_prod lnwdi_pop tdum4-tdum27, gmmstyle(L.fh_polity2, equation(diff) lag(1 .) collapse) ivstyle(lnQuantity lnQuantity2 lnwdi_gdpcapcur lnwdi_pop lnross_oil_prod al_ethnic, equation(diff)) ivstyle(tdum4-tdum27, equation(level)) twostep robust h(2) Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm. Warning: Two-step estimated covariance matrix of moments is singular. Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Difference-in-Sargan/Hansen statistics may be negative. Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: ccode Number of obs = 1069 Time variable : year Number of groups = 52 Number of instruments = 49 Obs per group: min = 3 Wald chi2(32) = 334.98 avg = 20.56 Prob > chi2 = 0.000 max = 23 --------------------------------------------------------------------------------- | Corrected fh_polity2 | Coef. Std. Err. z P>|z| [95% Conf. Interval] ----------------+---------------------------------------------------------------- fh_polity2 | L1. | .741296 .2352722 3.15 0.002 .280171 1.202421 L2. | -.089446 .0452714 -1.98 0.048 -.1781762 -.0007158 | lnQuantity | 0 (omitted) lnQuantity2 | -.0790774 .2660865 -0.30 0.766 -.6005973 .4424425 lnwdi_gdpcapcur | -.1744521 .1667085 -1.05 0.295 -.5011947 .1522905 al_ethnic | 4.508854 5.565101 0.81 0.418 -6.398543 15.41625 lnross_oil_prod | .0271386 .0810581 0.33 0.738 -.1317323 .1860096 lnwdi_pop | -.2055078 .5209358 -0.39 0.693 -1.226523 .8155077 tdum4 | -.1254753 .1688911 -0.74 0.458 -.4564958 .2055453 tdum5 | .1037048 .1576107 0.66 0.511 -.2052066 .4126161 tdum6 | .0731329 .1915654 0.38 0.703 -.3023284 .4485942 tdum7 | .1418915 .1983097 0.72 0.474 -.2467883 .5305714 tdum8 | .0373409 .2214471 0.17 0.866 -.3966875 .4713693 tdum9 | .245128 .1976073 1.24 0.215 -.1421753 .6324312 tdum10 | .286853 .2678615 1.07 0.284 -.238146 .8118519 tdum11 | .4119268 .2411296 1.71 0.088 -.0606786 .8845322 tdum12 | .3155458 .2554646 1.24 0.217 -.1851556 .8162472 tdum13 | .3088352 .2112838 1.46 0.144 -.1052734 .7229438 tdum14 | .3408329 .2461677 1.38 0.166 -.1416469 .8233126 tdum15 | .3912267 .2981041 1.31 0.189 -.1930466 .9755 tdum16 | .4814959 .3078377 1.56 0.118 -.1218549 1.084847 tdum17 | .3722092 .3573986 1.04 0.298 -.3282792 1.072698 tdum18 | .4505485 .3539213 1.27 0.203 -.2431245 1.144222 tdum19 | .5127796 .3772751 1.36 0.174 -.2266659 1.252225 tdum20 | .5115291 .4016883 1.27 0.203 -.2757656 1.298824 tdum21 | .5006258 .4090696 1.22 0.221 -.3011358 1.302387 tdum22 | .6272965 .4432503 1.42 0.157 -.2414582 1.496051 tdum23 | .566952 .4520146 1.25 0.210 -.3189804 1.452884 tdum24 | .563987 .4550702 1.24 0.215 -.3279342 1.455908 tdum25 | .5084679 .4822307 1.05 0.292 -.4366869 1.453623 tdum26 | 0 (omitted) tdum27 | 0 (omitted) _cons | 4.685599 13.42412 0.35 0.727 -21.62519 30.99638 --------------------------------------------------------------------------------- Instruments for first differences equation Standard D.(lnQuantity lnQuantity2 lnwdi_gdpcapcur lnwdi_pop lnross_oil_prod al_ethnic) GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/26).L.fh_polity2 collapsed Instruments for levels equation Standard tdum4 tdum5 tdum6 tdum7 tdum8 tdum9 tdum10 tdum11 tdum12 tdum13 tdum14 tdum15 tdum16 tdum17 tdum18 tdum19 tdum20 tdum21 tdum22 tdum23 tdum24 tdum25 tdum26 tdum27 _cons ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -2.33 Pr > z = 0.020 Arellano-Bond test for AR(2) in first differences: z = -0.61 Pr > z = 0.545 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(16) = 13.48 Prob > chi2 = 0.638 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(16) = 21.38 Prob > chi2 = 0.164 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: iv(lnQuantity lnQuantity2 lnwdi_gdpcapcur lnwdi_pop lnross_oil_prod al_ethnic, eq(diff)) Hansen test excluding group: chi2(13) = 17.45 Prob > chi2 = 0.180 Difference (null H = exogenous): chi2(3) = 3.94 Prob > chi2 = 0.269
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