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xtabond2 migrate L.migrate a2003 c.co_age##c.co_age dy_schooling marriage hukou_type a2025b InIncome /// c.gap_jobdiff3ex##c.gap_jobdiff3ex gap_ppden gap_unemploy gap_enterprise gap_med gap_highedu gap_theater gap_labprod gap_terti gap_LQ19 yr2-yr22, /// gmmstyle(migrate, lag(1 1) eq(level) collapse) /// predetermined gmmstyle(migrate, lag(2 .) eq(diff) collapse) /// gmmstyle(c.gap_jobdiff3ex##c.gap_jobdiff3ex, lag(1 1) eq(level)) /// gmmstyle(c.gap_jobdiff3ex##c.gap_jobdiff3ex, lag(2 .) eq(diff) collapse) /// gmmstyle(gap_labprod gap_LQ19 gap_terti, lag(1 1) eq(level) collapse) /// gmmstyle(gap_labprod gap_LQ19 gap_terti, lag(2 .) eq(diff) collapse) /// gmmstyle(gap_ppden gap_enterprise gap_unemploy,lag(0 0) eq(level) collapse) /// gmmstyle(gap_ppden gap_enterprise gap_unemploy,lag(1 .) eq(diff) collapse) /// ivstyle(gap_highedu gap_med gap_theater, eq(level)) /// ivstyle(a2003 co_age dy_schooling marriage hukou_type a2025b InIncome yr2-yr22, eq(level)) /// small twostep artests(4) cluster(dest_code)
xtabond2 migrate L.migrate a2003 c.co_age##c.co_age dy_schooling marriage hukou_type a2025b InIncome /// c.gap_jobdiff3ex##c.gap_jobdiff3ex gap_ppden gap_unemploy gap_enterprise gap_med gap_highedu gap_theater gap_labprod gap_terti gap_LQ19 yr2-yr22, /// gmmstyle(migrate, lag(1 1) eq(level)) /// predetermined gmmstyle(migrate, lag(2 8) eq(diff) collapse) /// gmmstyle(c.gap_jobdiff3ex##c.gap_jobdiff3ex, lag(1 1) eq(level)) /// endogenous gmmstyle(c.gap_jobdiff3ex##c.gap_jobdiff3ex, lag(2 8) eq(diff) collapse) /// gmmstyle(gap_labprod gap_LQ19 gap_terti, lag(1 1) eq(level)) /// endogenous gmmstyle(gap_labprod gap_LQ19 gap_terti, lag(2 8) eq(diff) collapse) /// gmmstyle(gap_ppden gap_enterprise gap_unemploy,lag(0 0) eq(level)) /// not strictly exogenous gmmstyle(gap_ppden gap_enterprise gap_unemploy,lag(1 3) eq(diff) collapse) /// ivstyle(gap_highedu gap_med gap_theater, eq(level)) /// exogenous ivstyle(a2003 co_age dy_schooling marriage hukou_type a2025b InIncome yr2-yr22, eq(level)) /// small twostep artests(4) cluster(dest_code)
------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -44.23 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -1.23 Pr > z = 0.220 Arellano-Bond test for AR(3) in first differences: z = 1.34 Pr > z = 0.182 Arellano-Bond test for AR(4) in first differences: z = 0.56 Pr > z = 0.576 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(191) =1326.63 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(191) = 184.39 Prob > chi2 = 0.621 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(137) = 124.81 Prob > chi2 = 0.764 Difference (null H = exogenous): chi2(54) = 59.59 Prob > chi2 = 0.280 gmm(migrate, eq(level) lag(1 1)) Hansen test excluding group: chi2(175) = 171.65 Prob > chi2 = 0.557 Difference (null H = exogenous): chi2(16) = 12.74 Prob > chi2 = 0.691 gmm(migrate, collapse eq(diff) lag(2 .)) Hansen test excluding group: chi2(176) = 168.64 Prob > chi2 = 0.641 Difference (null H = exogenous): chi2(15) = 15.75 Prob > chi2 = 0.399 gmm(gap_jobdiff3ex c.gap_jobdiff3ex#c.gap_jobdiff3ex, eq(level) lag(1 1)) Hansen test excluding group: chi2(159) = 154.63 Prob > chi2 = 0.583 Difference (null H = exogenous): chi2(32) = 29.76 Prob > chi2 = 0.580 gmm(gap_jobdiff3ex c.gap_jobdiff3ex#c.gap_jobdiff3ex, collapse eq(diff) lag(2 .)) Hansen test excluding group: chi2(159) = 159.06 Prob > chi2 = 0.484 Difference (null H = exogenous): chi2(32) = 25.33 Prob > chi2 = 0.792 gmm(gap_labprod gap_LQ19 gap_terti, collapse eq(level) lag(1 1)) Hansen test excluding group: chi2(188) = 182.40 Prob > chi2 = 0.602 Difference (null H = exogenous): chi2(3) = 1.99 Prob > chi2 = 0.574 gmm(gap_labprod gap_LQ19 gap_terti, collapse eq(diff) lag(2 .)) Hansen test excluding group: chi2(141) = 150.18 Prob > chi2 = 0.283 Difference (null H = exogenous): chi2(50) = 34.21 Prob > chi2 = 0.957 gmm(gap_ppden gap_enterprise gap_unemploy, collapse eq(level) lag(0 0)) Hansen test excluding group: chi2(188) = 179.76 Prob > chi2 = 0.654 Difference (null H = exogenous): chi2(3) = 4.64 Prob > chi2 = 0.200 gmm(gap_ppden gap_enterprise gap_unemploy, collapse eq(diff) lag(1 .)) Hansen test excluding group: chi2(141) = 149.14 Prob > chi2 = 0.303 Difference (null H = exogenous): chi2(50) = 35.25 Prob > chi2 = 0.943 iv(gap_highedu gap_med gap_theater, eq(level)) Hansen test excluding group: chi2(188) = 181.66 Prob > chi2 = 0.616 Difference (null H = exogenous): chi2(3) = 2.73 Prob > chi2 = 0.435 iv(a2003 co_age dy_schooling marriage hukou_type a2025b InIncome yr2 yr3 yr4 yr5 yr6 yr7 yr8 yr9 yr10 yr11 yr12 yr13 > yr14 yr15 yr16 yr17 yr18 yr19 yr20 yr21 yr22, eq(level)) Hansen test excluding group: chi2(167) = 164.20 Prob > chi2 = 0.547 Difference (null H = exogenous): chi2(24) = 20.20 Prob > chi2 = 0.685
gmmstyle(migrate, lag(2 2) eq(level)) /// gmmstyle(migrate, lag(3 .) eq(diff) collapse) ///
----------------------------------------------------------------------------------------------------- | Corrected migrate | Coef. Std. Err. t P>|t| [95% Conf. Interval] ------------------------------------+---------------------------------------------------------------- migrate | L1. | 1.159987 .0730317 15.88 0.000 1.016205 1.303768 L2. | -.1898163 .0698226 -2.72 0.007 -.3272801 -.0523526 | a2003 | -.0000582 .0001527 -0.38 0.703 -.0003588 .0002423 co_age | -.0003186 .0000309 -10.32 0.000 -.0003794 -.0002578 dy_schooling | .0002668 .0000481 5.55 0.000 .0001722 .0003614 marriage | -.004595 .0006148 -7.47 0.000 -.0058053 -.0033846 hukou_type | -.0007282 .0004208 -1.73 0.085 -.0015566 .0001001 a2025b | -.0001572 .0001256 -1.25 0.212 -.0004046 .0000901 InIncome | .0003588 .0001017 3.53 0.000 .0001587 .000559 | gap_jobdiff3ex | L1. | .0000635 .0000702 0.91 0.366 -.0000747 .0002017 | cL.gap_jobdiff3ex#cL.gap_jobdiff3ex | 1.67e-06 6.29e-07 2.65 0.009 4.28e-07 2.91e-06 | gap_ppden | L1. | 5.55e-06 2.44e-06 2.27 0.024 7.45e-07 .0000104 | gap_unemploy | L1. | -.0308105 .1619523 -0.19 0.849 -.349655 .2880341 | gap_enterprise | L1. | .0004517 .0003214 1.41 0.161 -.0001811 .0010844 | gap_med | L1. | 5.050586 1.232691 4.10 0.000 2.623718 7.477454 | gap_highedu | L1. | .3269975 .0754531 4.33 0.000 .1784488 .4755461
------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -8.77 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 2.73 Pr > z = 0.006 Arellano-Bond test for AR(3) in first differences: z = -0.04 Pr > z = 0.967 Arellano-Bond test for AR(4) in first differences: z = -0.59 Pr > z = 0.558 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(189) =1776.06 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(189) = 212.81 Prob > chi2 = 0.113 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(91) = 94.47 Prob > chi2 = 0.381 Difference (null H = exogenous): chi2(98) = 118.34 Prob > chi2 = 0.079 gmm(migrate, eq(level) lag(2 2)) Hansen test excluding group: chi2(173) = 189.50 Prob > chi2 = 0.185 Difference (null H = exogenous): chi2(16) = 23.32 Prob > chi2 = 0.106 gmm(migrate, collapse eq(diff) lag(3 .)) Hansen test excluding group: chi2(173) = 191.34 Prob > chi2 = 0.161 Difference (null H = exogenous): chi2(16) = 21.47 Prob > chi2 = 0.161 gmm(L.gap_jobdiff3ex cL.gap_jobdiff3ex#cL.gap_jobdiff3ex, eq(level) lag(1 1)) Hansen test excluding group: chi2(157) = 177.20 Prob > chi2 = 0.129 Difference (null H = exogenous): chi2(32) = 35.61 Prob > chi2 = 0.302 gmm(L.gap_jobdiff3ex cL.gap_jobdiff3ex#cL.gap_jobdiff3ex, collapse eq(diff) lag(2 .)) Hansen test excluding group: chi2(157) = 169.57 Prob > chi2 = 0.233 Difference (null H = exogenous): chi2(32) = 43.25 Prob > chi2 = 0.089 gmm(L.gap_ppden L.gap_enterprise L.gap_unemploy, eq(level) lag(0 0)) Hansen test excluding group: chi2(139) = 149.53 Prob > chi2 = 0.256 Difference (null H = exogenous): chi2(50) = 63.28 Prob > chi2 = 0.098 gmm(L.gap_ppden L.gap_enterprise L.gap_unemploy, collapse eq(diff) lag(1 .)) Hansen test excluding group: chi2(139) = 173.36 Prob > chi2 = 0.026 Difference (null H = exogenous): chi2(50) = 39.45 Prob > chi2 = 0.858 iv(L.gap_med L.gap_highedu, eq(level)) Hansen test excluding group: chi2(187) = 210.15 Prob > chi2 = 0.118 Difference (null H = exogenous): chi2(2) = 2.66 Prob > chi2 = 0.264 iv(a2003 co_age dy_schooling marriage hukou_type a2025b InIncome yr2 yr3 yr4 yr5 yr6 yr7 yr8 yr9 yr10 yr11 yr12 yr13 y > r14 yr15 yr16 yr17 yr18 yr19 yr20 yr21 yr22, eq(level)) Hansen test excluding group: chi2(165) = 182.91 Prob > chi2 = 0.161 Difference (null H = exogenous): chi2(24) = 29.90 Prob > chi2 = 0.188
----------------------------------------------------------------------------------------------------- | Corrected migrate | Coef. Std. Err. t P>|t| [95% Conf. Interval] ------------------------------------+---------------------------------------------------------------- migrate | L1. | .9635485 .0053282 180.84 0.000 .9530589 .9740382 | a2003 | -.0001579 .0001957 -0.81 0.420 -.0005433 .0002274 co_age | -.000373 .0000264 -14.11 0.000 -.000425 -.000321 dy_schooling | .0003459 .0000477 7.25 0.000 .000252 .0004398 marriage | -.0047542 .0007491 -6.35 0.000 -.0062289 -.0032795 hukou_type | -.0008414 .0005379 -1.56 0.119 -.0019003 .0002174 a2025b | -.0001694 .0001507 -1.12 0.262 -.000466 .0001272 InIncome | .0004433 .0001295 3.42 0.001 .0001882 .0006983 | gap_jobdiff3ex | L1. | .0000999 .0000775 1.29 0.198 -.0000526 .0002524 | cL.gap_jobdiff3ex#cL.gap_jobdiff3ex | 2.01e-06 7.03e-07 2.86 0.005 6.28e-07 3.40e-06 | gap_ppden | L1. | 7.02e-06 2.77e-06 2.53 0.012 1.55e-06 .0000125 | gap_unemploy | L1. | -.1215351 .169508 -0.72 0.474 -.455244 .2121739 | gap_enterprise | L1. | .000753 .0003926 1.92 0.056 -.00002 .001526 | gap_med | L1. | 5.361344 1.37739 3.89 0.000 2.649688 8.073 | gap_highedu | L1. | .4120449 .0989178 4.17 0.000 .2173063 .6067835
------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -59.78 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 1.08 Pr > z = 0.282 Arellano-Bond test for AR(3) in first differences: z = -0.13 Pr > z = 0.894 Arellano-Bond test for AR(4) in first differences: z = -1.06 Pr > z = 0.289 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(191) =2240.55 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(191) = 215.61 Prob > chi2 = 0.107 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(93) = 97.64 Prob > chi2 = 0.351 Difference (null H = exogenous): chi2(98) = 117.97 Prob > chi2 = 0.083 gmm(migrate, eq(level) lag(1 1)) Hansen test excluding group: chi2(175) = 194.32 Prob > chi2 = 0.151 Difference (null H = exogenous): chi2(16) = 21.29 Prob > chi2 = 0.168 gmm(migrate, collapse eq(diff) lag(2 .)) Hansen test excluding group: chi2(174) = 200.42 Prob > chi2 = 0.083 Difference (null H = exogenous): chi2(17) = 15.18 Prob > chi2 = 0.582 gmm(L.gap_jobdiff3ex cL.gap_jobdiff3ex#cL.gap_jobdiff3ex, eq(level) lag(1 1)) Hansen test excluding group: chi2(159) = 172.30 Prob > chi2 = 0.223 Difference (null H = exogenous): chi2(32) = 43.31 Prob > chi2 = 0.088 gmm(L.gap_jobdiff3ex cL.gap_jobdiff3ex#cL.gap_jobdiff3ex, collapse eq(diff) lag(2 .)) Hansen test excluding group: chi2(159) = 172.53 Prob > chi2 = 0.219 Difference (null H = exogenous): chi2(32) = 43.08 Prob > chi2 = 0.091 gmm(L.gap_ppden L.gap_enterprise L.gap_unemploy, eq(level) lag(0 0)) Hansen test excluding group: chi2(141) = 172.45 Prob > chi2 = 0.037 Difference (null H = exogenous): chi2(50) = 43.16 Prob > chi2 = 0.742 gmm(L.gap_ppden L.gap_enterprise L.gap_unemploy, collapse eq(diff) lag(1 .)) Hansen test excluding group: chi2(141) = 176.85 Prob > chi2 = 0.022 Difference (null H = exogenous): chi2(50) = 38.76 Prob > chi2 = 0.876 iv(L.gap_med L.gap_highedu, eq(level)) Hansen test excluding group: chi2(189) = 214.05 Prob > chi2 = 0.102 Difference (null H = exogenous): chi2(2) = 1.56 Prob > chi2 = 0.458 iv(a2003 co_age dy_schooling marriage hukou_type a2025b InIncome yr2 yr3 yr4 yr5 yr6 yr7 yr8 yr9 yr10 yr11 yr12 yr13 y > r14 yr15 yr16 yr17 yr18 yr19 yr20 yr21 yr22, eq(level)) Hansen test excluding group: chi2(167) = 187.84 Prob > chi2 = 0.129 Difference (null H = exogenous): chi2(24) = 27.76 Prob > chi2 = 0.270
xtdpdgmm L(0/1).n w k, model(diff) collapse gmm(n, lag(2 4)) gmm(w k, lag(1 3)) /// > gmm(n, lag(1 1) diff model(level)) gmm(w k, lag(0 0) diff model(level)) two vce(r)
xtdpdgmm L(0/1).n w k, collapse gmm(n, lag(2 4)) gmm(w k, lag(1 3)) two vce(r)
https://www.statalist.org/forums/forum/general-stata-discussion/general/1395858-xtdpdgmm-new-stata-command-for-efficient-gmm-estimation-of-linear-dynamic-panel-models-with-nonlinear-moment-conditions/page2
xtabond2 migrate L.migrate a2003 co_age dy_schooling marriage hukou_type a2025b InIncome /// c.gap_jobdiff3ex##c.gap_jobdiff3ex gap_ppden gap_unemploy gap_enterprise gap_med gap_highedu yr2-yr22, /// gmmstyle(migrate, lag(1 1) eq(level)) /// predetermined gmmstyle(migrate, lag(2 .) eq(diff) collapse) /// gmmstyle(gap_jobdiff3ex c.gap_jobdiff3ex#c.gap_jobdiff3ex, lag(1 1) eq(level)) //// endogenous gmmstyle(gap_jobdiff3ex c.gap_jobdiff3ex#c.gap_jobdiff3ex, lag(2 .) eq(diff) collapse) /// gmmstyle(gap_ppden gap_enterprise gap_unemploy, lag(0 0) eq(level)) /// predetermined gmmstyle(gap_ppden gap_enterprise gap_unemploy, lag(1 .) eq(diff) collapse) /// ivstyle(gap_med gap_highedu, eq(level)) /// exogenous ivstyle(i.a2003 co_age dy_schooling marriage hukou_type a2025b InIncome yr2-yr22, eq(level)) /// small twostep artests(4) cluster(dest_code)
------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -57.35 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -0.97 Pr > z = 0.331 Arellano-Bond test for AR(3) in first differences: z = -0.03 Pr > z = 0.976 Arellano-Bond test for AR(4) in first differences: z = 0.64 Pr > z = 0.521 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(190) =2327.26 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(190) = 196.63 Prob > chi2 = 0.356 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(92) = 103.26 Prob > chi2 = 0.198 Difference (null H = exogenous): chi2(98) = 93.37 Prob > chi2 = 0.613 gmm(migrate, eq(level) lag(1 1)) Hansen test excluding group: chi2(174) = 187.76 Prob > chi2 = 0.225 Difference (null H = exogenous): chi2(16) = 8.87 Prob > chi2 = 0.919 gmm(migrate, collapse eq(diff) lag(2 .)) Hansen test excluding group: chi2(174) = 190.77 Prob > chi2 = 0.182 Difference (null H = exogenous): chi2(16) = 5.86 Prob > chi2 = 0.990 gmm(gap_jobdiff3ex c.gap_jobdiff3ex#c.gap_jobdiff3ex, eq(level) lag(1 1)) Hansen test excluding group: chi2(158) = 164.21 Prob > chi2 = 0.351 Difference (null H = exogenous): chi2(32) = 32.43 Prob > chi2 = 0.446 gmm(gap_jobdiff3ex c.gap_jobdiff3ex#c.gap_jobdiff3ex, collapse eq(diff) lag(2 .)) Hansen test excluding group: chi2(158) = 178.05 Prob > chi2 = 0.131 Difference (null H = exogenous): chi2(32) = 18.58 Prob > chi2 = 0.972 gmm(gap_ppden gap_enterprise gap_unemploy, eq(level) lag(0 0)) Hansen test excluding group: chi2(140) = 155.43 Prob > chi2 = 0.176 Difference (null H = exogenous): chi2(50) = 41.20 Prob > chi2 = 0.808 gmm(gap_ppden gap_enterprise gap_unemploy, collapse eq(diff) lag(1 .)) Hansen test excluding group: chi2(140) = 159.45 Prob > chi2 = 0.125 Difference (null H = exogenous): chi2(50) = 37.18 Prob > chi2 = 0.910 iv(gap_med gap_highedu, eq(level)) Hansen test excluding group: chi2(188) = 195.96 Prob > chi2 = 0.330 Difference (null H = exogenous): chi2(2) = 0.67 Prob > chi2 = 0.715 iv(0b.a2003 1.a2003 co_age dy_schooling marriage hukou_type a2025b InIncome yr2 yr3 yr4 yr5 yr6 yr7 yr8 yr9 yr10 yr11 > yr12 yr13 yr14 yr15 yr16 yr17 yr18 yr19 yr20 yr21 yr22, eq(level)) Hansen test excluding group: chi2(166) = 183.18 Prob > chi2 = 0.171 Difference (null H = exogenous): chi2(24) = 13.45 Prob > chi2 = 0.958
xtdpdgmm L(0/1).n w k, model(diff) collapse gmm(n, lag(2 4)) gmm(w k, lag(1 3)) /// > gmm(n, lag(1 1) diff model(level)) gmm(w k, lag(0 0) diff model(level)) two vce(r)
xtdpdgmm L(0/1).n w k, collapse gmm(n, lag(2 4)) gmm(w k, lag(1 3)) two vce(r)
gmmstyle(gap_jobdiff19 , lag(2 .) eq(level) collapse) /// gmmstyle(D.gap_jobdiff19 , lag(1 .) eq(level) collapse) ///
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