Dear stata community,
I would like to use GMM (i.e. the xtabond2 or a similar command) to assess inequality’s short-run and long-run impact on growth simultaneously. As such the outcome variable is growth and there are two explanatory variables. The first is Gini coefficient at the start of each 5-year period. The second explanatory variable is the first observed Gini coefficient for each country (this variable is called initial_gini). The code I ran is below:
xtabond2 growth L.(gini initial_gini lgdp syrm syrf pi) _Iper*, gmm(L.(syrm syrf pi gini lgdp)) iv(_Iper*) two small nol robust
When I run the code it works but the second explanatory variable is omitted. Is there a way to prevent it from being omitted? I presume the problem is that for each country the initial_gini takes on the same value for each observation. Is there a way to do this either using xtabond2 or a similar command? Or more broadly, having any advice on how to use two explanatory variables one capturing the short-run impact and the other the long-run impact would be greatly appreciated.
The warning that stata gives me reads: 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."
Thank you
I would like to use GMM (i.e. the xtabond2 or a similar command) to assess inequality’s short-run and long-run impact on growth simultaneously. As such the outcome variable is growth and there are two explanatory variables. The first is Gini coefficient at the start of each 5-year period. The second explanatory variable is the first observed Gini coefficient for each country (this variable is called initial_gini). The code I ran is below:
xtabond2 growth L.(gini initial_gini lgdp syrm syrf pi) _Iper*, gmm(L.(syrm syrf pi gini lgdp)) iv(_Iper*) two small nol robust
When I run the code it works but the second explanatory variable is omitted. Is there a way to prevent it from being omitted? I presume the problem is that for each country the initial_gini takes on the same value for each observation. Is there a way to do this either using xtabond2 or a similar command? Or more broadly, having any advice on how to use two explanatory variables one capturing the short-run impact and the other the long-run impact would be greatly appreciated.
The warning that stata gives me reads: 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."
Thank you
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