Dynamic panel and GMM

[Foad Zamani]

Hello and have a good time. I'm having trouble estimating my model based on the dynamic panel method in Stata 14.1. My data, which is shown in the attached table, includes 122 companies, 854 observations and 19 industries. I want to control the effects of year and industry in this research, but I don't know how to enter this in the command, and when I enter the effects of year and industry, the software gives you an error, which shows the command and the error. I have presented below. I would appreciate it if you could guide me how to enter the effects of year and industry in this command.
Thanks & Regards

 xtdpd etr L.etr ceonarcissismremuneration lev roa owncon duality fsize bsize ceoage bmeeting, dgmmiv(ceonarcissismremuneration lev roa owncon duality fsize bsize ceoage bmeetin i.industry i.years) dgmm(etr, lagrange(2 4)) lgmmiv(etr) twostep artests(2)

error : "factor variables not allowed"

statalist.org.xlsx

[Weiwen Ng]

I am not familiar with this command, but because you haven’t got a response yet, I shall answer the obvious question. i. Is the prefix for
factor variables. The error message indicates that this command doesn’t accept factor variables. I think that around Stata 12 or so is when Stata started to make this syntax universal.

You should try using the xi: prefix for the whole command. It’s an older syntax, but it should enable factor variables, e.g.

xi: xtdpd etr L.etr …

[Foad Zamani]

Hello and have a good time، thanks for your tips; I have sent all the variables that should be provided in the command along with the data in the attached file. Thank you for check.
Please download the file below the error that I have written.

[Weiwen Ng]

Did you try what I suggested?

[Foad Zamani]

Hello and have a good time, I executed the command you said:

xi: xtdpd etr L.etr ceonarcissismremuneration lev roa owncon duality fsize bsize ceoage bmeeting, dgmmiv(ceonarcissismremuneration lev roa owncon duality fsize bsize ceoage bmeetin i.industry i.years ) dgmm(etr, lagrange(2 4)) lgmmiv(etr) twostep artests(2)

and it sent me the following result:

i.industry        _Iindustry_1-19     (naturally coded; _Iindustry_1 omitted)
i.years           _Iyears_1-7         (naturally coded; _Iyears_1 omitted)
note: _Iindustry_2 dropped from dgmmiv() because of collinearity
note: _Iindustry_3 dropped from dgmmiv() because of collinearity
note: _Iindustry_4 dropped from dgmmiv() because of collinearity
note: _Iindustry_5 dropped from dgmmiv() because of collinearity
note: _Iindustry_6 dropped from dgmmiv() because of collinearity
note: _Iindustry_7 dropped from dgmmiv() because of collinearity
note: _Iindustry_8 dropped from dgmmiv() because of collinearity
note: _Iindustry_9 dropped from dgmmiv() because of collinearity
note: _Iindustry_10 dropped from dgmmiv() because of collinearity
note: _Iindustry_11 dropped from dgmmiv() because of collinearity
note: _Iindustry_12 dropped from dgmmiv() because of collinearity
note: _Iindustry_13 dropped from dgmmiv() because of collinearity
note: _Iindustry_14 dropped from dgmmiv() because of collinearity
note: _Iindustry_15 dropped from dgmmiv() because of collinearity
note: _Iindustry_16 dropped from dgmmiv() because of collinearity
note: _Iindustry_17 dropped from dgmmiv() because of collinearity
note: _Iindustry_18 dropped from dgmmiv() because of collinearity
note: _Iindustry_19 dropped from dgmmiv() because of collinearity

Dynamic panel-data estimation                   Number of obs     =        732
Group variable: firms                           Number of groups  =        122
Time variable: years
                                                Obs per group:
                                                              min =          6
                                                              avg =          6
                                                              max =          6

Number of instruments =    155                  Wald chi2(10)     =   65917.34
                                                Prob > chi2       =     0.0000
Two-step results
-------------------------------------------------------------------------------------------
                      etr |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
--------------------------+----------------------------------------------------------------
                      etr |
                      L1. |   .2748354   .0053425    51.44   0.000     .2643644    .2853064
                          |
ceonarcissismremuneration |  -.4487585   .0258168   -17.38   0.000    -.4993586   -.3981584
                      lev |  -.0612323    .006441    -9.51   0.000    -.0738566   -.0486081
                      roa |   .0376469   .0060959     6.18   0.000     .0256992    .0495946
                   owncon |  -.0078717    .004305    -1.83   0.067    -.0163092    .0005659
                  duality |    .010431   .0020349     5.13   0.000     .0064426    .0144195
                    fsize |   .0031327   .0003059    10.24   0.000     .0025332    .0037323
                    bsize |  -.4470682   .0718298    -6.22   0.000    -.5878521   -.3062844
                   ceoage |   .0951618    .003309    28.76   0.000     .0886763    .1016473
                 bmeeting |  -.0003575   .0001001    -3.57   0.000    -.0005538   -.0001613
                    _cons |   .0206086   .0563166     0.37   0.714    -.0897699    .1309871
-------------------------------------------------------------------------------------------
Warning: gmm two-step standard errors are biased; robust standard 
         errors are recommended.
Instruments for differenced equation
        GMM-type: L(2/.).ceonarcissismremuneration L(2/.).lev L(2/.).roa L(2/.).owncon
                  L(2/.).duality L(2/.).fsize L(2/.).bsize L(2/.).ceoage L(2/.).bmeeting
                  L(2/.)._Iyears_2 L(2/.)._Iyears_3 L(2/.)._Iyears_4 L(2/.)._Iyears_5
                  L(2/.)._Iyears_6 L(2/.)._Iyears_7 L(2/4).etr
Instruments for level equation
        GMM-type: LD.etr
        Standard: _cons

[Foad Zamani]

Of course, apart from this, the following code :

xi: xtdpd etr L.etr ceonarcissismremuneration lev roa owncon duality fsize bsize ceoage bmeeting i.industry i.years , dgmmiv(ceonarcissismremuneration lev roa owncon duality fsize bsize ceoage bmeetin i.industry i.years) dgmm(etr, lagrange(2 4)) lgmmiv(etr) twostep artests(2)

and results can also be seen:

i.industry        _Iindustry_1-19     (naturally coded; _Iindustry_1 omitted)
i.years           _Iyears_1-7         (naturally coded; _Iyears_1 omitted)
note: _Iindustry_2 dropped from dgmmiv() because of collinearity
note: _Iindustry_3 dropped from dgmmiv() because of collinearity
note: _Iindustry_4 dropped from dgmmiv() because of collinearity
note: _Iindustry_5 dropped from dgmmiv() because of collinearity
note: _Iindustry_6 dropped from dgmmiv() because of collinearity
note: _Iindustry_7 dropped from dgmmiv() because of collinearity
note: _Iindustry_8 dropped from dgmmiv() because of collinearity
note: _Iindustry_9 dropped from dgmmiv() because of collinearity
note: _Iindustry_10 dropped from dgmmiv() because of collinearity
note: _Iindustry_11 dropped from dgmmiv() because of collinearity
note: _Iindustry_12 dropped from dgmmiv() because of collinearity
note: _Iindustry_13 dropped from dgmmiv() because of collinearity
note: _Iindustry_14 dropped from dgmmiv() because of collinearity
note: _Iindustry_15 dropped from dgmmiv() because of collinearity
note: _Iindustry_16 dropped from dgmmiv() because of collinearity
note: _Iindustry_17 dropped from dgmmiv() because of collinearity
note: _Iindustry_18 dropped from dgmmiv() because of collinearity
note: _Iindustry_19 dropped from dgmmiv() because of collinearity
note: _Iyears_5 dropped because of collinearity
note: D._Iindustry_2 dropped because of collinearity
note: D._Iindustry_3 dropped because of collinearity
note: D._Iindustry_4 dropped because of collinearity
note: D._Iindustry_5 dropped because of collinearity
note: D._Iindustry_6 dropped because of collinearity
note: D._Iindustry_7 dropped because of collinearity
note: D._Iindustry_8 dropped because of collinearity
note: D._Iindustry_9 dropped because of collinearity
note: D._Iindustry_10 dropped because of collinearity
note: D._Iindustry_11 dropped because of collinearity
note: D._Iindustry_12 dropped because of collinearity
note: D._Iindustry_13 dropped because of collinearity
note: D._Iindustry_14 dropped because of collinearity
note: D._Iindustry_15 dropped because of collinearity
note: D._Iindustry_16 dropped because of collinearity
note: D._Iindustry_17 dropped because of collinearity
note: D._Iindustry_18 dropped because of collinearity
note: D._Iindustry_19 dropped because of collinearity
note: D._Iyears_2 dropped because of collinearity

Dynamic panel-data estimation                   Number of obs     =        732
Group variable: firms                           Number of groups  =        122
Time variable: years
                                                Obs per group:
                                                              min =          6
                                                              avg =          6
                                                              max =          6

Number of instruments =    155                  Wald chi2(14)     =  100003.31
                                                Prob > chi2       =     0.0000
Two-step results
-------------------------------------------------------------------------------------------
                      etr |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
--------------------------+----------------------------------------------------------------
                      etr |
                      L1. |   .2828854   .0068986    41.01   0.000     .2693645    .2964064
                          |
ceonarcissismremuneration |  -.4841562    .033338   -14.52   0.000    -.5494974    -.418815
                      lev |   -.066055   .0072698    -9.09   0.000    -.0803035   -.0518066
                      roa |    .075123   .0129481     5.80   0.000     .0497451    .1005009
                   owncon |   -.033168   .0078185    -4.24   0.000    -.0484919   -.0178441
                  duality |   .0083651   .0029752     2.81   0.005     .0025339    .0141964
                    fsize |   .0017972    .000487     3.69   0.000     .0008427    .0027517
                    bsize |   -.530725   .1226756    -4.33   0.000    -.7711646   -.2902853
                   ceoage |    .057833   .0078641     7.35   0.000     .0424197    .0732463
                 bmeeting |   .0000201   .0001032     0.19   0.845    -.0001821    .0002224
                _Iyears_3 |   .0086709    .001253     6.92   0.000     .0062151    .0111267
                _Iyears_4 |   -.007317   .0012709    -5.76   0.000    -.0098078   -.0048261
                _Iyears_6 |  -.0037994   .0012199    -3.11   0.002    -.0061903   -.0014085
                _Iyears_7 |  -.0188647   .0016794   -11.23   0.000    -.0221562   -.0155732
                    _cons |    .246956   .1120843     2.20   0.028     .0272749    .4666372
-------------------------------------------------------------------------------------------
Warning: gmm two-step standard errors are biased; robust standard 
         errors are recommended.
Instruments for differenced equation
        GMM-type: L(2/.).ceonarcissismremuneration L(2/.).lev L(2/.).roa L(2/.).owncon
                  L(2/.).duality L(2/.).fsize L(2/.).bsize L(2/.).ceoage L(2/.).bmeeting
                  L(2/.)._Iyears_2 L(2/.)._Iyears_3 L(2/.)._Iyears_4 L(2/.)._Iyears_5
                  L(2/.)._Iyears_6 L(2/.)._Iyears_7 L(2/4).etr
Instruments for level equation
        GMM-type: LD.etr
        Standard: _cons

.