Code:
. xtabond2 ihsdti L2.ihsdti L(1/1)happy1 L(1/1)age L(1/1)age2 L(1/1)child L(1/1)race L(1/1)married L(1/1)widow L(1/1)divse
> p L(1/1)employd L(1/1)unemploy L(1/1)edu1 L(1/1)lnrinc15 L(1/1)numfam year13 year15 year17 year19, iv(year13 year15 year
> 17 year19) gmm(L.lndti L.happy1 L.age L.age2 L.child L.race L.married L.widow L.divsep L.employd L.unemploy L.edu1 L.lnr
> inc15 L.numfam, collapse) noleveleq robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
year17 dropped due to collinearity
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 difference GMM
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Group variable: id Number of obs = 11268
Time variable : year Number of groups = 5088
Number of instruments = 59 Obs per group: min = 0
Wald chi2(0) = . avg = 2.21
Prob > chi2 = . max = 3
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| Robust
ihsdti | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ihsdti |
L2. | -.0050029 .0210653 -0.24 0.812 -.0462901 .0362844
|
happy1 |
L1. | .0000441 .0132605 0.00 0.997 -.025946 .0260342
|
age |
L1. | .0080277 .0482873 0.17 0.868 -.0866136 .102669
|
age2 |
L1. | .0000109 .0001968 0.06 0.956 -.0003747 .0003966
|
child |
L1. | .0028104 .047455 0.06 0.953 -.0901996 .0958205
|
race |
L1. | 23.59687 14.92014 1.58 0.114 -5.646055 52.8398
|
married |
L1. | .6248527 .248282 2.52 0.012 .1382288 1.111477
|
widow |
L1. | -1.450568 1.060808 -1.37 0.171 -3.529713 .628577
|
divsep |
L1. | .6696009 .3496698 1.91 0.055 -.0157393 1.354941
|
employd |
L1. | -.125849 .046303 -2.72 0.007 -.2166013 -.0350968
|
unemploy |
L1. | -.0541125 .0439053 -1.23 0.218 -.1401654 .0319404
|
edu1 |
L1. | .501768 .2192204 2.29 0.022 .0721038 .9314322
|
lnrinc15 |
L1. | -.0095542 .0186659 -0.51 0.609 -.0461387 .0270302
|
numfam |
L1. | .0594206 .0500564 1.19 0.235 -.0386881 .1575293
|
year13 | .1096201 .1721624 0.64 0.524 -.2278119 .4470522
year15 | .0634726 .0856652 0.74 0.459 -.104428 .2313733
year19 | -.0411584 .0851321 -0.48 0.629 -.2080143 .1256974
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Instruments for first differences equation
Standard
D.(year13 year15 year17 year19)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/5).(L.lndti L.happy1 L.age L.age2 L.child L.race L.married L.widow
L.divsep L.employd L.unemploy L.edu1 L.lnrinc15 L.numfam) collapsed
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Arellano-Bond test for AR(1) in first differences: z = -4.33 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 0.19 Pr > z = 0.853
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Sargan test of overid. restrictions: chi2(42) = 139.84 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(42) = 143.47 Prob > chi2 = 0.000
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(year13 year15 year17 year19)
Hansen test excluding group: chi2(39) = 133.51 Prob > chi2 = 0.000
Difference (null H = exogenous): chi2(3) = 9.96 Prob > chi2 = 0.019
