Dear Statalist,
1. Could you please help me in interpreting the below results.
What does it mean by "Hansen test excluding group" and "Difference (null = exogenous)"?
2. Sometimes I found that Stata report that test without the second group (gmm(....)), like the results below. Could you please help me to explain why?
Thank you all so much for you
1. Could you please help me in interpreting the below results.
Code:
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(19) = 29.20 Prob > chi2 = 0.063 Difference (null H = exogenous): chi2(16) = 13.00 Prob > chi2 = 0.672 gmm(AvQ SO sqSO, lag(3 3)) Hansen test excluding group: chi2(2) = 12.41 Prob > chi2 = 0.002 Difference (null H = exogenous): chi2(33) = 29.79 Prob > chi2 = 0.628 iv(IRisk D2007 D2008 D2009 D2010 D2011 D2012 D2013 D2014 D2015) Hansen test excluding group: chi2(26) = 37.63 Prob > chi2 = 0.066 Difference (null H = exogenous): chi2(9) = 4.57 Prob > chi2 = 0.870
2. Sometimes I found that Stata report that test without the second group (gmm(....)), like the results below. Could you please help me to explain why?
Code:
. xtabond2 AvQ LAvQ LO sqLO CtrlDum LOChange NoLO ATA Lev FixAGr LenInt, gmm (AvQ LO sqLO, lag(3 3)) iv(LenInt IRisk1 > D2007-D2015) artests(3) small noconstant twostep 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 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: ID Number of obs = 309 Time variable : Year Number of groups = 69 Number of instruments = 45 Obs per group: min = 1 F(10, 69) = 183.91 avg = 4.48 Prob > F = 0.000 max = 8 ------------------------------------------------------------------------------ | Corrected AvQ | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- LAvQ | .5670873 .0758761 7.47 0.000 .4157186 .7184559 LO | 5.203749 1.021265 5.10 0.000 3.166381 7.241116 sqLO | -4.549483 .7706978 -5.90 0.000 -6.086983 -3.011983 CtrlDum | -.3421226 .2036376 -1.68 0.097 -.7483684 .0641233 LOChange | .110238 .1233316 0.89 0.375 -.1358018 .3562778 NoLO | -.1132349 .0648383 -1.75 0.085 -.2425838 .0161141 ATA | 2.67e-08 2.17e-08 1.23 0.221 -1.65e-08 7.00e-08 Lev | -.3656472 .3235544 -1.13 0.262 -1.011121 .2798262 FixAGr | 4.07e-08 7.05e-08 0.58 0.566 -1.00e-07 1.81e-07 LenInt | -3.112551 .7225774 -4.31 0.000 -4.554053 -1.671048 ------------------------------------------------------------------------------ Instruments for first differences equation Standard D.(LenInt IRisk1 D2007 D2008 D2009 D2010 D2011 D2012 D2013 D2014 D2015) GMM-type (missing=0, separate instruments for each period unless collapsed) L3.(AvQ LO sqLO) Instruments for levels equation Standard LenInt IRisk1 D2007 D2008 D2009 D2010 D2011 D2012 D2013 D2014 D2015 GMM-type (missing=0, separate instruments for each period unless collapsed) DL2.(AvQ LO sqLO) ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -1.49 Pr > z = 0.136 Arellano-Bond test for AR(2) in first differences: z = -2.37 Pr > z = 0.018 Arellano-Bond test for AR(3) in first differences: z = 0.69 Pr > z = 0.492 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(35) = 84.91 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(35) = 40.58 Prob > chi2 = 0.238 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(17) = 24.41 Prob > chi2 = 0.109 Difference (null H = exogenous): chi2(18) = 16.17 Prob > chi2 = 0.581 iv(LenInt IRisk1 D2007 D2008 D2009 D2010 D2011 D2012 D2013 D2014 D2015) Hansen test excluding group: chi2(26) = 27.72 Prob > chi2 = 0.372 Difference (null H = exogenous): chi2(9) = 12.85 Prob > chi2 = 0.169
Thank you all so much for you
