Hello friends,
I have read Roodman (2009) and some posts here regarding the question, but I am not sure if I understood correctly.
If, when performing system GMM using the xtabond2 command, I restrict the gmmstyle lags to 3-6 order lags, does that mean that an insignificant AB autocorrelation test of order 3 suffice. I.e. is it okay if AR(2) rejects the null but AR(3) does not?
Thanks,
Gal
This is the xtabond2 command line
And this is the output:
I have read Roodman (2009) and some posts here regarding the question, but I am not sure if I understood correctly.
If, when performing system GMM using the xtabond2 command, I restrict the gmmstyle lags to 3-6 order lags, does that mean that an insignificant AB autocorrelation test of order 3 suffice. I.e. is it okay if AR(2) rejects the null but AR(3) does not?
Thanks,
Gal
This is the xtabond2 command line
Code:
xtabond2 per_ma3_TFP $finC $nonfinC $convar yr* , gmm($finC $nonfinC per_ma3_gov_exp_GDP per_ma3_cpi_inflation per_logGDP_pc, coll laglimits(3 6)) iv(yr* per_ma3_trade_GDP per_ma3_yrs_sch per_ma3_IRCG per_ma3_trade_GDP) twostep small r artests(3)
Code:
. xtabond2 per_ma3_TFP $finC $nonfinC $convar yr* , gmm($finC $nonfinC per_ma3_gov_exp_GDP per_ma3_cpi_infl > ation per_logGDP_pc, coll laglimits(3 6)) iv(yr* per_ma3_trade_GDP per_ma3_yrs_sch per_ma3_IRCG per_ma3_trade_GDP) two > step small r artests(3) Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. yr2013 dropped due to collinearity 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. Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: ID Number of obs = 328 Time variable : year Number of groups = 58 Number of instruments = 47 Obs per group: min = 2 F(18, 57) = 2153.89 avg = 5.66 Prob > F = 0.000 max = 9 ---------------------------------------------------------------------------------------- | Corrected per_ma3_TFP | Coef. Std. Err. t P>|t| [95% Conf. Interval] -----------------------+---------------------------------------------------------------- per_c_ma3_fin_stock | -.0000648 .0007612 -0.09 0.932 -.0015892 .0014595 per_c_ma3_fin_flow | .0003164 .0042521 0.07 0.941 -.0081983 .0088311 per_c_ma3_nonfin_stock | .0009372 .0007619 1.23 0.224 -.0005885 .0024628 per_c_ma3_nonfin_flow | .0029903 .0023584 1.27 0.210 -.0017323 .0077129 per_ma3_yrs_sch | -.0090489 .0106553 -0.85 0.399 -.0303858 .012288 per_ma3_IRCG | -.0007388 .003128 -0.24 0.814 -.0070026 .005525 per_ma3_cpi_inflation | -.0008791 .00289 -0.30 0.762 -.0066662 .004908 per_ma3_gov_exp_GDP | -.0045448 .0064397 -0.71 0.483 -.0174401 .0083505 per_ma3_trade_GDP | -.000299 .0002061 -1.45 0.152 -.0007117 .0001136 per_logGDP_pc | .0408159 .0410099 1.00 0.324 -.0413049 .1229368 yr1992 | -.0753124 .0527374 -1.43 0.159 -.1809172 .0302924 yr1995 | -.0561759 .0322474 -1.74 0.087 -.1207503 .0083985 yr1998 | -.045674 .0403163 -1.13 0.262 -.1264061 .035058 yr2001 | -.0322637 .0388948 -0.83 0.410 -.1101493 .0456218 yr2004 | .0057429 .0476757 0.12 0.905 -.0897261 .1012119 yr2007 | .0118822 .0280837 0.42 0.674 -.0443545 .0681189 yr2010 | -.0082215 .0137538 -0.60 0.552 -.035763 .0193199 yr2016 | .0163729 .0068277 2.40 0.020 .0027005 .0300452 _cons | .7881233 .1980452 3.98 0.000 .3915447 1.184702 ---------------------------------------------------------------------------------------- Instruments for first differences equation Standard D.(yr1992 yr1995 yr1998 yr2001 yr2004 yr2007 yr2010 yr2013 yr2016 per_ma3_trade_GDP per_ma3_yrs_sch per_ma3_IRCG per_ma3_trade_GDP) GMM-type (missing=0, separate instruments for each period unless collapsed) L(3/6).(per_c_ma3_fin_stock per_c_ma3_fin_flow per_c_ma3_nonfin_stock per_c_ma3_nonfin_flow per_ma3_gov_exp_GDP per_ma3_cpi_inflation per_logGDP_pc) collapsed Instruments for levels equation Standard yr1992 yr1995 yr1998 yr2001 yr2004 yr2007 yr2010 yr2013 yr2016 per_ma3_trade_GDP per_ma3_yrs_sch per_ma3_IRCG per_ma3_trade_GDP _cons GMM-type (missing=0, separate instruments for each period unless collapsed) DL2.(per_c_ma3_fin_stock per_c_ma3_fin_flow per_c_ma3_nonfin_stock per_c_ma3_nonfin_flow per_ma3_gov_exp_GDP per_ma3_cpi_inflation per_logGDP_pc) collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = 2.56 Pr > z = 0.010 Arellano-Bond test for AR(2) in first differences: z = 2.17 Pr > z = 0.030 Arellano-Bond test for AR(3) in first differences: z = 0.90 Pr > z = 0.368 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(28) = 112.22 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(28) = 27.90 Prob > chi2 = 0.470 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(21) = 18.78 Prob > chi2 = 0.599 Difference (null H = exogenous): chi2(7) = 9.11 Prob > chi2 = 0.245
Comment