Dear all,
I have applied xtabond2 system gmm command to my dataset, which consists of 45000 observations- that is 6800 individuals tracked over 9 years. The panel dataset is unbalanced, and some individuals count less than 3 year observations.
When I apply the command (28 instruments in total), trying to control for the number of instrument using gmm(lag() collapse) option, i get the following diagnostics.
the command is restricted to seven years span, instead of available nine years. Do you know why the Hansen test excluding group ismissing? What could I do to "fix" this?
Thank you.
I have applied xtabond2 system gmm command to my dataset, which consists of 45000 observations- that is 6800 individuals tracked over 9 years. The panel dataset is unbalanced, and some individuals count less than 3 year observations.
When I apply the command (28 instruments in total), trying to control for the number of instrument using gmm(lag() collapse) option, i get the following diagnostics.
Code:
------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -4.71 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -0.71 Pr > z = 0.480 Arellano-Bond test for AR(3) in first differences: z = -0.30 Pr > z = 0.764 Arellano-Bond test for AR(4) in first differences: z = 0.17 Pr > z = 0.863 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(2) = 164.84 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(2) = 10.51 Prob > chi2 = 0.005 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: gmm(L.TFP1, collapse lag(1 1)) Hansen test excluding group: chi2(0) = 8.63 Prob > chi2 = . Difference (null H = exogenous): chi2(2) = 1.87 Prob > chi2 = 0.392
Thank you.
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