Announcement

Collapse
No announcement yet.
X
  • Filter
  • Time
  • Show
Clear All
new posts

  • is time dummies significantly affect our coefficient?

    Hello guys, I want to ask something about one step difference gmm with xtabond2 command in state, where my N=34 and T=7

    I'm doing one step difference gmm with xtabond2 command, with and without time dummies

    without time dummies I found my ar, sargan, and hansen statistic test is invalid but my model and all the independent variables are statistically significant, Here is my code and the result without time dummies

    Code:
    xtabond2 lnIPM l1.lnIPM lnPLN lnSL lnJALAN lnSLS lnSAML, gmm(l1.lnIPM, collapse) iv(lnPLN lnSL lnJALAN lnSLS lnSAML) noleveleq nodiffsargan robust
    .

    xtabond2 lnIPM l1.lnIPM lnPLN lnSL lnJALAN lnSLS lnSAML, gmm(l1.lnIPM, collapse) iv(lnPLN lnSL lnJALAN lnSL
    > S lnSAML) noleveleq nodiffsargan robust
    Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
    Warning: Two-step estimated covariance matrix of moments is singular.
    Using a generalized inverse to calculate robust weighting matrix for Hansen test.

    Dynamic panel-data estimation, one-step difference GMM
    ------------------------------------------------------------------------------
    Group variable: provinsi Number of obs = 165
    Time variable : tahun Number of groups = 33
    Number of instruments = 10 Obs per group: min = 5
    Wald chi2(0) = . avg = 5.00
    Prob > chi2 = . max = 5
    ------------------------------------------------------------------------------
    | Robust
    lnIPM | Coefficient std. err. z P>|z| [95% conf. interval]
    -------------+----------------------------------------------------------------
    lnIPM |
    L1. | .5464483 .109845 4.97 0.000 .3311559 .7617406
    |
    lnPLN | .0556826 .0350971 1.59 0.113 -.0131064 .1244716
    lnSL | -.0169182 .0074623 -2.27 0.023 -.031544 -.0022924
    lnJALAN | .002181 .0138822 0.16 0.875 -.0250276 .0293896
    lnSLS | -.0043936 .0032954 -1.33 0.182 -.0108524 .0020652
    lnSAML | .0299093 .0069274 4.32 0.000 .0163317 .0434868
    ------------------------------------------------------------------------------
    Instruments for first differences equation
    Standard
    D.(lnPLN lnSL lnJALAN lnSLS lnSAML)
    GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/6).L.lnIPM collapsed
    ------------------------------------------------------------------------------
    Arellano-Bond test for AR(1) in first differences: z = -2.43 Pr > z = 0.015
    Arellano-Bond test for AR(2) in first differences: z = -3.21 Pr > z = 0.001
    ------------------------------------------------------------------------------
    Sargan test of overid. restrictions: chi2(4) = 75.75 Prob > chi2 = 0.000
    (Not robust, but not weakened by many instruments.)
    Hansen test of overid. restrictions: chi2(4) = 24.74 Prob > chi2 = 0.000
    (Robust, but weakened by many instruments.)

    with time dummies, I found my ar, sargan, and hansen statistic test is valid, but my coefficient for the independent variable drastically changed and become insignificant, here is my code and result with time dummies

    Code:
    xtabond2 lnIPM l1.lnIPM lnPLN lnSL lnJALAN lnSLS lnSAML tahun_*, gmm(l1.lnIPM, collapse) iv(lnPLN lnSL lnJALAN lnSLS lnSAML tahun_*) noleveleq nodiffsargan robust
    xtabond2 lnIPM l1.lnIPM lnPLN lnSL lnJALAN lnSLS lnSAML tahun_*, gmm(l1.lnIPM, collapse) iv(lnPLN lnSL lnJA
    > LAN lnSLS lnSAML tahun_*) noleveleq nodiffsargan robust
    Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
    tahun_1 dropped due to collinearity
    tahun_3 dropped due to collinearity
    Warning: Two-step estimated covariance matrix of moments is singular.
    Using a generalized inverse to calculate robust weighting matrix for Hansen test.

    Dynamic panel-data estimation, one-step difference GMM
    ------------------------------------------------------------------------------
    Group variable: provinsi Number of obs = 165
    Time variable : tahun Number of groups = 33
    Number of instruments = 15 Obs per group: min = 5
    Wald chi2(0) = . avg = 5.00
    Prob > chi2 = . max = 5
    ------------------------------------------------------------------------------
    | Robust
    lnIPM | Coefficient std. err. z P>|z| [95% conf. interval]
    -------------+----------------------------------------------------------------
    lnIPM |
    L1. | .9731091 .2590362 3.76 0.000 .4654076 1.480811
    |
    lnPLN | -.0121004 .0340991 -0.35 0.723 -.0789334 .0547326
    lnSL | -.0082242 .0033951 -2.42 0.015 -.0148786 -.0015699
    lnJALAN | -.0112446 .0083678 -1.34 0.179 -.0276453 .005156
    lnSLS | -.002733 .0030194 -0.91 0.365 -.0086509 .0031848
    lnSAML | .012342 .0128841 0.96 0.338 -.0129105 .0375945
    tahun_2 | -.0008708 .002072 -0.42 0.674 -.0049318 .0031903
    tahun_4 | -.0003193 .0034074 -0.09 0.925 -.0069977 .006359
    tahun_5 | -.0114039 .0063957 -1.78 0.075 -.0239393 .0011315
    tahun_6 | -.0048179 .0047947 -1.00 0.315 -.0142154 .0045795
    tahun_7 | .0002146 .0056747 0.04 0.970 -.0109075 .0113368
    ------------------------------------------------------------------------------
    Instruments for first differences equation
    Standard
    D.(lnPLN lnSL lnJALAN lnSLS lnSAML tahun_1 tahun_2 tahun_3 tahun_4 tahun_5
    tahun_6 tahun_7)
    GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/6).L.lnIPM collapsed
    ------------------------------------------------------------------------------
    Arellano-Bond test for AR(1) in first differences: z = -1.36 Pr > z = 0.173
    Arellano-Bond test for AR(2) in first differences: z = -1.65 Pr > z = 0.099
    ------------------------------------------------------------------------------
    Sargan test of overid. restrictions: chi2(4) = 2.04 Prob > chi2 = 0.728
    (Not robust, but not weakened by many instruments.)
    Hansen test of overid. restrictions: chi2(4) = 6.43 Prob > chi2 = 0.169
    (Robust, but weakened by many instruments.)

    ***Note : tahun_ is my time dummies***
    .
    here is what I want to ask:

    1. Is it normal when my coefficient and significant level changed due to time dummies introduction to the model?

    2. if I stick with my first code (without time dummies) what kind of special treatment i need to do to deal with invalid ar, sargan, and hansen statistic test?

    Thank You!




Working...
X