Dear Statalisters:
I implement system-GMM using xtabond2, but I think my command is wrong. My command is
And I get these results. The Sargan and Arellano-Bond test results suggest that everything is not okay:
I've browsed past Q&As on Statalist, but I cannot tell what's wrong with my command. I'd be grateful if you could guide me in the right direction. I thank you in advance for your kind help.
Thank you.
Taka Sakamoto
I implement system-GMM using xtabond2, but I think my command is wrong. My command is
Code:
xtabond2 gdpgrow l.ngini l.inflation l.gfcfgrow l.hfcegrow l.ltotsshead2 l.tradeopen l.lrgdpopc if id~=10, gmm(gd > pgrow ngini inflation gfcfgrow hfcegrow ltotsshead2 , lag(2 2) collapse eq(diff)) gmm(gdpgrow ngini inflation gf > cfgrow hfcegrow, lag(2 2) collapse eq(level))iv(l.lrgdpopc l.tradeopen ,eq(level)) two robust small
Code:
. xtabond2 gdpgrow l.ngini l.inflation l.gfcfgrow l.hfcegrow l.ltotsshead2 l.tradeopen l.lrgdpopc if id~=10, gmm(gd > pgrow ngini inflation gfcfgrow hfcegrow ltotsshead2 , lag(2 2) collapse eq(diff)) gmm(gdpgrow ngini inflation gf > cfgrow hfcegrow, lag(2 2) collapse eq(level))iv(l.lrgdpopc l.tradeopen ,eq(level)) two robust small Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. Dynamic panel-data estimation, two-step system GMM Group variable: id Number of obs = 675 Time variable : year Number of groups = 20 Number of instruments = 14 Obs per group: min = 6 F(7, 19) = 18.70 avg = 33.75 Prob > F = 0.000 max = 37 Corrected gdpgrow Coefficient std. err. t P>t [95% conf. interval] ngini L1. .3147968 .3118502 1.01 0.325 -.3379132 .9675069 inflation L1. -.3873443 .1194199 -3.24 0.004 -.637293 -.1373956 gfcfgrow L1. .0436497 .0128106 3.41 0.003 .0168368 .0704625 hfcegrow L1. .2276408 .0729948 3.12 0.006 .0748608 .3804207 ltotsshead2 L1. -2.563032 1.658896 -1.55 0.139 -6.035143 .9090779 tradeopen L1. .0216229 .017919 1.21 0.242 -.015882 .0591278 lrgdpopc L1. -.0608208 2.105319 -0.03 0.977 -4.467304 4.345662 _cons 13.98035 16.83557 0.83 0.417 -21.25692 49.21761 Instruments for first differences equation GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(gdpgrow ngini inflation gfcfgrow hfcegrow ltotsshead2) collapsed Instruments for levels equation Standard L.lrgdpopc L.tradeopen _cons GMM-type (missing=0, separate instruments for each period unless collapsed) DL2.(gdpgrow ngini inflation gfcfgrow hfcegrow) collapsed Arellano-Bond test for AR(1) in first differences: z = -3.63 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -2.99 Pr > z = 0.003 Sargan test of overid. restrictions: chi2(6) = 20.54 Prob > chi2 = 0.002 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(6) = 11.95 Prob > chi2 = 0.063 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(1) = 9.69 Prob > chi2 = 0.002 Difference (null H = exogenous): chi2(5) = 2.27 Prob > chi2 = 0.811 gmm(gdpgrow ngini inflation gfcfgrow hfcegrow ltotsshead2, collapse eq(diff) lag(2 2)) Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = . Difference (null H = exogenous): chi2(6) = 11.95 Prob > chi2 = 0.063 gmm(gdpgrow ngini inflation gfcfgrow hfcegrow, collapse eq(level) lag(2 2)) Hansen test excluding group: chi2(1) = 9.69 Prob > chi2 = 0.002 Difference (null H = exogenous): chi2(5) = 2.27 Prob > chi2 = 0.811 iv(L.lrgdpopc L.tradeopen, eq(level)) Hansen test excluding group: chi2(4) = 11.17 Prob > chi2 = 0.025 Difference (null H = exogenous): chi2(2) = 0.78 Prob > chi2 = 0.676
Thank you.
Taka Sakamoto
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