Hello, I am trying to fit a gmm model with the code below;
I had the following result
After incorporating year dummies (using only the year of crisis as the whole year dummies produced results with a lot of omission) with the below code
And got the following results.
My concern however, is the number of instruments as literature suggests that number of instruments should be lower than number of groups. Can I use any of the above results? If not can you suggest what to do please.
Code:
xtabond2 trisk l.trisk bind fenex femex feric crcomind femric fexric cbmeet l.rsanc inrel totd flev, gmm (trisk fbric, lag(1 1) collapse eq(diff)) gmm(trisk fbric, lag(0 0) collapse eq(level)) iv(bind fenex femex feric crcomind femric fexri c cbmeet inrel l.rsanc totd flev, equation(level)) two robust orthogonal small nodiffsargan
Code:
avoring speed over space. To switch, type or click on mata: mata set matafavor space, 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. Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: bankid Number of obs = 131 Time variable : year Number of groups = 15 Number of instruments = 17 Obs per group: min = 7 F(13, 14) = 18.94 avg = 8.73 Prob > F = 0.000 max = 9 ------------------------------------------------------------------------------ | Corrected trisk | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- trisk | L1. | -.8749704 .2366954 -3.70 0.002 -1.382632 -.3673092 | bind | .460755 .3258479 1.41 0.179 -.2381191 1.159629 fenex | 1.574508 .4650913 3.39 0.004 .5769862 2.57203 femex | -2.648738 .6300641 -4.20 0.001 -4.000091 -1.297385 feric | -.5341961 .297384 -1.80 0.094 -1.172021 .1036292 crcomind | -.5480378 .1801754 -3.04 0.009 -.9344756 -.1616001 femric | .8974255 .2398005 3.74 0.002 .3831045 1.411746 fexric | -.667802 .3699242 -1.81 0.093 -1.46121 .1256065 cbmeet | .0411593 .0421682 0.98 0.346 -.0492824 .131601 | rsanc | L1. | .4546769 1.04491 0.44 0.670 -1.786433 2.695787 | inrel | .0082195 .5229716 0.02 0.988 -1.113443 1.129882 totd | .807954 .1304721 6.19 0.000 .5281191 1.087789 flev | .4677679 .1245706 3.76 0.002 .2005905 .7349452 _cons | -.2411651 .1706182 -1.41 0.179 -.6071047 .1247745 ------------------------------------------------------------------------------ Instruments for orthogonal deviations equation GMM-type (missing=0, separate instruments for each period unless collapsed) L.(trisk fbric) collapsed Instruments for levels equation Standard bind fenex femex feric crcomind femric fexric cbmeet inrel L.rsanc totd flev _cons GMM-type (missing=0, separate instruments for each period unless collapsed) D.(trisk fbric) collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -1.69 Pr > z = 0.090 Arellano-Bond test for AR(2) in first differences: z = 0.01 Pr > z = 0.989 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(3) = 16.41 Prob > chi2 = 0.001 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(3) = 0.81 Prob > chi2 = 0.846 (Robust, but weakened by many instruments.)
Code:
xtabond2 trisk l.trisk bind fenex femex feric crcomind femric fexric cbmeet l.rsanc inrel totd flev year2009, gmm (trisk fbric, lag(1 1) collapse eq(diff)) gmm(trisk fbric, lag(0 0) collapse eq(level)) iv(bind fenex femex feric crcomind femric fexric cbmeet inrel l.rsanc totd flev year2009, equation(level)) two robust orthogonal small nodiffsargan
Code:
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, 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. Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: bankid Number of obs = 131 Time variable : year Number of groups = 15 Number of instruments = 17 Obs per group: min = 7 F(14, 14) = 17.44 avg = 8.73 Prob > F = 0.000 max = 9 ------------------------------------------------------------------------------ | Corrected trisk | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- trisk | L1. | -.8749704 .2377135 -3.68 0.002 -1.384815 -.3651257 | bind | .460755 .3272494 1.41 0.181 -.241125 1.162635 fenex | 1.574508 .4670917 3.37 0.005 .5726958 2.57632 femex | -2.648738 .632774 -4.19 0.001 -4.005903 -1.291573 feric | -.5341961 .2986631 -1.79 0.095 -1.174765 .1063726 crcomind | -.5480378 .1809503 -3.03 0.009 -.9361377 -.159938 femric | .8974255 .2408319 3.73 0.002 .3808924 1.413959 fexric | -.667802 .3715153 -1.80 0.094 -1.464623 .129019 cbmeet | .0411593 .0423495 0.97 0.348 -.0496714 .13199 | rsanc | L1. | .4546769 1.049405 0.43 0.671 -1.796072 2.705426 | inrel | .0082195 .525221 0.02 0.988 -1.118267 1.134707 totd | .807954 .1310333 6.17 0.000 .5269155 1.088992 flev | .4677679 .1251064 3.74 0.002 .1994414 .7360944 year2009 | 0 (omitted) _cons | -.2411651 .171352 -1.41 0.181 -.6086787 .1263485 ------------------------------------------------------------------------------ Instruments for orthogonal deviations equation GMM-type (missing=0, separate instruments for each period unless collapsed) L.(trisk fbric) collapsed Instruments for levels equation Standard bind fenex femex feric crcomind femric fexric cbmeet inrel L.rsanc totd flev year2009 _cons GMM-type (missing=0, separate instruments for each period unless collapsed) D.(trisk fbric) collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -1.69 Pr > z = 0.090 Arellano-Bond test for AR(2) in first differences: z = 0.01 Pr > z = 0.989 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(2) = 16.41 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(2) = 0.81 Prob > chi2 = 0.666 (Robust, but weakened by many instruments.) .
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