Hello, I have a dynamic panel data of 26 countries and 21 years. I am estimating my regression equation using the system-GMM command, however the Difference-in-Hansen tests of exogeneity of instrument subsets are missing. Can somebody please point out what is wrong with my command?
Code:
xtabond2 PATR1 l.PATR1 electpredright electpredleft electendright electendleft pit cor > porate govtexp inflation gdp gdpgrowth unemployment dependencyold dependencyyoung popb > elow14 pop65andabove, gmm(PATR1 pit corporate govtexp inflation gdp gdpgrowth unemploy > ment, lag(2 2) collapse eq(diff)) iv(electpredright electpredleft electendright electe > ndleft dependencyold dependencyyoung popbelow14 pop65andabove, eq(diff)) gmm(PATR1 pit > corporate govtexp inflation gdp gdpgrowth unemployment, lag(1 1) collapse eq(level)) > twostep robust Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, p > erm. Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: country Number of obs = 494 Time variable : year Number of groups = 26 Number of instruments = 25 Obs per group: min = 19 Wald chi2(16) = 871.47 avg = 19.00 Prob > chi2 = 0.000 max = 19 --------------------------------------------------------------------------------- | Corrected PATR1 | Coef. Std. Err. z P>|z| [95% Conf. Interval] ----------------+---------------------------------------------------------------- PATR1 | L1. | .9698838 .142762 6.79 0.000 .6900754 1.249692 | electpredright | -.0105237 .0070724 -1.49 0.137 -.0243854 .0033379 electpredleft | -.0055908 .0028285 -1.98 0.048 -.0111346 -.000047 electendright | .0006971 .004853 0.14 0.886 -.0088145 .0102088 electendleft | .0014974 .0043417 0.34 0.730 -.0070121 .0100069 pit | .0553782 .2076029 0.27 0.790 -.351516 .4622724 corporate | -.0434264 .072638 -0.60 0.550 -.1857942 .0989415 govtexp | -.0301283 .125029 -0.24 0.810 -.2751806 .214924 inflation | -.0021349 .003167 -0.67 0.500 -.0083422 .0040724 gdp | -1.13e-15 4.08e-15 -0.28 0.781 -9.14e-15 6.87e-15 gdpgrowth | -.0063547 .0818767 -0.08 0.938 -.1668301 .1541207 unemployment | .0572732 .0772129 0.74 0.458 -.0940613 .2086077 dependencyold | .0882096 1.569993 0.06 0.955 -2.98892 3.165339 dependencyyoung | 2.169483 2.930996 0.74 0.459 -3.575164 7.91413 popbelow14 | -3.731681 5.153118 -0.72 0.469 -13.83161 6.368244 pop65andabove | -.9278412 2.825606 -0.33 0.743 -6.465927 4.610244 _cons | .2337575 .3122037 0.75 0.454 -.3781504 .8456655 --------------------------------------------------------------------------------- Instruments for first differences equation Standard D.(electpredright electpredleft electendright electendleft dependencyold dependencyyoung popbelow14 pop65andabove) GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(PATR1 pit corporate govtexp inflation gdp gdpgrowth unemployment) collapsed Instruments for levels equation Standard _cons GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(PATR1 pit corporate govtexp inflation gdp gdpgrowth unemployment) collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -2.43 Pr > z = 0.015 Arellano-Bond test for AR(2) in first differences: z = 0.83 Pr > z = 0.407 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(8) = 13.14 Prob > chi2 = 0.107 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(8) = 9.32 Prob > chi2 = 0.316 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = . Difference (null H = exogenous): chi2(8) = 9.32 Prob > chi2 = 0.316 gmm(PATR1 pit corporate govtexp inflation gdp gdpgrowth unemployment, collapse eq(diff > ) lag(2 2)) Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = . Difference (null H = exogenous): chi2(8) = 9.32 Prob > chi2 = 0.316 gmm(PATR1 pit corporate govtexp inflation gdp gdpgrowth unemployment, collapse eq(leve > l) lag(1 1)) Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = . Difference (null H = exogenous): chi2(8) = 9.32 Prob > chi2 = 0.316 iv(electpredright electpredleft electendright electendleft dependencyold dependencyyou > ng popbelow14 pop65andabove, eq(diff)) Hansen test excluding group: chi2(0) = 0.99 Prob > chi2 = . Difference (null H = exogenous): chi2(8) = 8.33 Prob > chi2 = 0.402
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