Hello everyone,
I'm trying to use the Stata 13 to estimate a Dynamic Panel Data with the Difference GMM and System GMM. The first difference equations are:
Where:
Li,t is the dependent variable (here is Leverage)
Xi,t-1 is the matrix of determinant of the dependent variable (including: prft, tang, growth, size)
Now, in the Differencing GMM (1991), I want to use the instruments including:
and in the System GMM (1998), the instruments I want to use in the first difference equations are
and for the level equations are:
My attempt is below:
1. The Difference GMM (1991) estimation:
2. The System GMM (1998) estimation:
Also, I have tried to use the xtabond2 command and I got this:
I know that there were several mistakes in all of my commands but I just could not figure out and make it right the way I want as I have stated earlier.
Here, the p_value are quite large and the number of instruments are larger than the number of groups. (I know my sample is too small but sadly I could not change it). I hope you can help me fix the command to get the significant results.
Also, I am a new Stata user, so please forgive me if I have made any foolish mistakes and feel free to let me know.
Thank you in advance! I do really hope to hearing from you soon!
I'm trying to use the Stata 13 to estimate a Dynamic Panel Data with the Difference GMM and System GMM. The first difference equations are:
Where:
Li,t is the dependent variable (here is Leverage)
Xi,t-1 is the matrix of determinant of the dependent variable (including: prft, tang, growth, size)
Now, in the Differencing GMM (1991), I want to use the instruments including:
and in the System GMM (1998), the instruments I want to use in the first difference equations are
and for the level equations are:
My attempt is below:
1. The Difference GMM (1991) estimation:
Code:
. xtabond leverage lagleverage lagprft lagsize laggrowth lagtang, lags(2) twostep vce(robust) artests(2) small small is a deprecated option note: lagleverage dropped because of collinearity Arellano-Bond dynamic panel-data estimation Number of obs = 33 Group variable: id Number of groups = 11 Time variable: t Obs per group: min = 3 avg = 3 max = 3 Number of instruments = 15 Wald chi2(6) = 109.04 Prob > chi2 = 0.0000 Two-step results (Std. Err. adjusted for clustering on id) ------------------------------------------------------------------------------ | WC-Robust leverage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- leverage | L1. | -.0022249 .1895428 -0.01 0.991 -.373722 .3692722 L2. | .1227548 .4008548 0.31 0.759 -.6629062 .9084158 | lagprft | .1286908 .0810308 1.59 0.112 -.0301267 .2875083 lagsize | .1109781 .0509849 2.18 0.030 .0110495 .2109066 laggrowth | .0180581 .011342 1.59 0.111 -.0041719 .040288 lagtang | -.5714003 .3501781 -1.63 0.103 -1.257737 .1149362 _cons | -1.062468 .9021153 -1.18 0.239 -2.830581 .7056455 ------------------------------------------------------------------------------ Instruments for differenced equation GMM-type: L(2/.).leverage Standard: D.lagleverage D.lagprft D.lagsize D.laggrowth D.lagtang Instruments for level equation Standard: _cons
Code:
. xtdpdsys leverage lagprft lagtang lagsize laggrowth, lags(2) twostep vce(robust) artests(2) System dynamic panel-data estimation Number of obs = 44 Group variable: id Number of groups = 11 Time variable: t Obs per group: min = 4 avg = 4 max = 4 Number of instruments = 18 Wald chi2(6) = 1236.16 Prob > chi2 = 0.0000 Two-step results ------------------------------------------------------------------------------ | WC-Robust leverage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- leverage | L1. | .1122024 .2660097 0.42 0.673 -.409167 .6335719 L2. | .232506 .1716271 1.35 0.176 -.103877 .568889 | lagprft | .2078303 .1267164 1.64 0.101 -.0405292 .4561899 lagtang | -.4553018 .0780344 -5.83 0.000 -.6082465 -.3023571 lagsize | .1162271 .0578604 2.01 0.045 .0028228 .2296314 laggrowth | .0109966 .0234193 0.47 0.639 -.0349044 .0568975 _cons | -1.304568 .8091934 -1.61 0.107 -2.890558 .2814224 ------------------------------------------------------------------------------ Instruments for differenced equation GMM-type: L(2/.).leverage Standard: D.lagprft D.lagtang D.lagsize D.laggrowth Instruments for level equation GMM-type: LD.leverage Standard: _cons
Code:
. xtabond2 leverage lagleverage lagprft lagsize lagtang laggrowth, noleveleq two robust small gmm( leverage lagprft lagsize lagtang laggrowth, lag(2 2)) Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. Warning: Number of instruments may be large relative to number of observations. 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 statistics may be negative. Dynamic panel-data estimation, two-step difference GMM ------------------------------------------------------------------------------ Group variable: id Number of obs = 55 Time variable : t Number of groups = 11 Number of instruments = 20 Obs per group: min = 5 F(5, 11) = 1.43 avg = 5.00 Prob > F = 0.288 max = 5 ------------------------------------------------------------------------------ | Corrected leverage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lagleverage | -.0217873 .3974929 -0.05 0.957 -.8966633 .8530887 lagprft | .0331341 .2335589 0.14 0.890 -.4809257 .5471938 lagsize | .0807723 .066558 1.21 0.250 -.0657209 .2272654 lagtang | -.4597916 .5534276 -0.83 0.424 -1.677877 .7582943 laggrowth | .0237899 .0384265 0.62 0.548 -.0607863 .108366 ------------------------------------------------------------------------------ Instruments for first differences equation GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(leverage lagprft lagsize lagtang laggrowth) ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -0.91 Pr > z = 0.365 Arellano-Bond test for AR(2) in first differences: z = 0.45 Pr > z = 0.650 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(15) = 20.23 Prob > chi2 = 0.163 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(15) = 9.11 Prob > chi2 = 0.872 (Robust, but can be weakened by many instruments.)
Here, the p_value are quite large and the number of instruments are larger than the number of groups. (I know my sample is too small but sadly I could not change it). I hope you can help me fix the command to get the significant results.
Also, I am a new Stata user, so please forgive me if I have made any foolish mistakes and feel free to let me know.
Thank you in advance! I do really hope to hearing from you soon!
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