Dear Statalist members,
Thank you
Code:
xtabond2 growth aid aidpol gdp0 polity inflation govsize mgdp i.year, gmm(gdp0 inflation govsize, lag (1 .)collapse) gmm(aid mgdp, lag(2 .)collapse) gmm(aidpol polity, lag(2 .) eq(level)) iv
> (i.year, eq(level)) robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen test.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
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Group variable: countrynum Number of obs = 348
Time variable : year Number of groups = 58
Number of instruments = 46 Obs per group: min = 6
Wald chi2(13) = 258.70 avg = 6.00
Prob > chi2 = 0.000 max = 6
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| Robust
growth | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
aid | -.0574378 .1154779 -0.50 0.619 -.2837704 .1688947
aidpol | .043429 .0184724 2.35 0.019 .0072237 .0796343
gdp0 | 1.976001 .8199689 2.41 0.016 .3688917 3.583111
polity | -.1539181 .2680458 -0.57 0.566 -.6792782 .371442
inflation | -.007488 .0097597 -0.77 0.443 -.0266166 .0116406
govsize | -.0630577 .1085896 -0.58 0.561 -.2758895 .1497741
mgdp | .1684272 .0204182 8.25 0.000 .1284083 .2084461
|
year |
1 | 0 (empty)
2 | -.5705357 .6530268 -0.87 0.382 -1.850445 .7093733
3 | -.9162101 .5882048 -1.56 0.119 -2.06907 .2366501
4 | .3565344 .5364327 0.66 0.506 -.6948544 1.407923
5 | -2.538261 .8779921 -2.89 0.004 -4.259094 -.8174283
6 | -3.248694 1.059512 -3.07 0.002 -5.3253 -1.172088
|
_cons | -15.53429 5.980947 -2.60 0.009 -27.25674 -3.811853
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Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/5).(aid mgdp) collapsed
L(1/5).(gdp0 inflation govsize) collapsed
Instruments for levels equation
Standard
1b.year 2.year 3.year 4.year 5.year 6.year
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL(2/4).(aidpol polity)
DL.(aid mgdp) collapsed
D.(gdp0 inflation govsize) collapsed
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Arellano-Bond test for AR(1) in first differences: z = -2.91 Pr > z = 0.004
Arellano-Bond test for AR(2) in first differences: z = 0.61 Pr > z = 0.539
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Sargan test of overid. restrictions: chi2(32) = 102.89 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(32) = 41.97 Prob > chi2 = 0.112
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(15) = 20.88 Prob > chi2 = 0.141
Difference (null H = exogenous): chi2(17) = 21.09 Prob > chi2 = 0.222
gmm(gdp0 inflation govsize, collapse lag(1 .))
Hansen test excluding group: chi2(14) = 22.00 Prob > chi2 = 0.079
Difference (null H = exogenous): chi2(18) = 19.97 Prob > chi2 = 0.334
gmm(aid mgdp, collapse lag(2 .))
Hansen test excluding group: chi2(22) = 38.83 Prob > chi2 = 0.015
Difference (null H = exogenous): chi2(10) = 3.14 Prob > chi2 = 0.978
gmm(aidpol polity, eq(level) lag(2 .))
Hansen test excluding group: chi2(20) = 30.11 Prob > chi2 = 0.068
Difference (null H = exogenous): chi2(12) = 11.86 Prob > chi2 = 0.457
iv(1b.year 2.year 3.year 4.year 5.year 6.year, eq(level))
Hansen test excluding group: chi2(27) = 38.58 Prob > chi2 = 0.069
Difference (null H = exogenous): chi2(5) = 3.39 Prob > chi2 = 0.639
