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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