xtabond2: System GMM: how to improve the value of AR(2) and Hansen Test for overid
Today, 01:33
Dear Stata users, I am using the System GMM approach. i have given the following command in Stata/SE 12.0 version.
xtabond2 lngdp l.lngdp lndr lngcf lnsr lnopn i.years,gmm ( lngdp lndr lngcf lnsr lnopn, lag(1 1) ) iv(l.lngdp) twostep
i got the following results.
xtabond2 lngdp l.lngdp lndr lngcf lnsr lnopn i.years,gmm ( lngdp lndr lngcf lnsr lnopn, lag(1 1) ) iv(l.lngdp) twostep
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 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: country1 Number of obs = 1595
Time variable : years Number of groups = 145
Number of instruments = 107 Obs per group: min = 11
Wald chi2(17) = 2.42e+06 avg = 11.00
Prob > chi2 = 0.000 max = 11
------------------------------------------------------------------------------
lngdp | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lngdp |
L1. | .9713631 .0025932 374.57 0.000 .9662805 .9764458
|
lndr | -.1370166 .0127315 -10.76 0.000 -.1619699 -.1120634
lngcf | .1080064 .0043553 24.80 0.000 .0994702 .1165425
lnsr | .0105508 .0013087 8.06 0.000 .0079859 .0131158
lnopn | -.0066939 .0030969 -2.16 0.031 -.0127637 -.0006241
|
years |
2005 | 0 (empty)
2006 | 0 (omitted)
2007 | -.0127725 .0011484 -11.12 0.000 -.0150233 -.0105217
2008 | -.0355241 .0017079 -20.80 0.000 -.0388715 -.0321767
2009 | -.0768109 .0022446 -34.22 0.000 -.0812102 -.0724116
2010 | -.0367234 .0014283 -25.71 0.000 -.0395228 -.0339241
2011 | -.0287487 .0013824 -20.80 0.000 -.0314582 -.0260392
2012 | -.0400038 .0014159 -28.25 0.000 -.0427789 -.0372288
2013 | -.0360108 .0014802 -24.33 0.000 -.0389119 -.0331097
2014 | -.0400141 .0016956 -23.60 0.000 -.0433374 -.0366909
2015 | -.0479402 .0021016 -22.81 0.000 -.0520593 -.0438211
2016 | -.0435217 .0018269 -23.82 0.000 -.0471024 -.0399409
|
_cons | .5419014 .0852887 6.35 0.000 .3747387 .7090642
------------------------------------------------------------------------------
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation
Standard
D.L.lngdp
GMM-type (missing=0, separate instruments for each period unless collapsed)
L.(lngdp lndr lngcf lnsr lnopn)
Instruments for levels equation
Standard
L.lngdp
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(lngdp lndr lngcf lnsr lnopn)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -4.95 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -1.77 Pr > z = 0.077
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(89) =1550.21 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(89) = 109.06 Prob > chi2 = 0.073
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(34) = 65.53 Prob > chi2 = 0.001
Difference (null H = exogenous): chi2(55) = 43.54 Prob > chi2 = 0.868
iv(L.lngdp)
Hansen test excluding group: chi2(88) = 107.25 Prob > chi2 = 0.080
Difference (null H = exogenous): chi2(1) = 1.81 Prob > chi2 = 0.178
Will someone help me that how to improve the value of Arellano-Bond test for AR(2) in first differences and Hansen test of overid. restrictions: chi2(89) . Thanking in anticipation.
Kind Regards: Zubair Khan
Today, 01:33
Dear Stata users, I am using the System GMM approach. i have given the following command in Stata/SE 12.0 version.
xtabond2 lngdp l.lngdp lndr lngcf lnsr lnopn i.years,gmm ( lngdp lndr lngcf lnsr lnopn, lag(1 1) ) iv(l.lngdp) twostep
i got the following results.
xtabond2 lngdp l.lngdp lndr lngcf lnsr lnopn i.years,gmm ( lngdp lndr lngcf lnsr lnopn, lag(1 1) ) iv(l.lngdp) twostep
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 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: country1 Number of obs = 1595
Time variable : years Number of groups = 145
Number of instruments = 107 Obs per group: min = 11
Wald chi2(17) = 2.42e+06 avg = 11.00
Prob > chi2 = 0.000 max = 11
------------------------------------------------------------------------------
lngdp | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lngdp |
L1. | .9713631 .0025932 374.57 0.000 .9662805 .9764458
|
lndr | -.1370166 .0127315 -10.76 0.000 -.1619699 -.1120634
lngcf | .1080064 .0043553 24.80 0.000 .0994702 .1165425
lnsr | .0105508 .0013087 8.06 0.000 .0079859 .0131158
lnopn | -.0066939 .0030969 -2.16 0.031 -.0127637 -.0006241
|
years |
2005 | 0 (empty)
2006 | 0 (omitted)
2007 | -.0127725 .0011484 -11.12 0.000 -.0150233 -.0105217
2008 | -.0355241 .0017079 -20.80 0.000 -.0388715 -.0321767
2009 | -.0768109 .0022446 -34.22 0.000 -.0812102 -.0724116
2010 | -.0367234 .0014283 -25.71 0.000 -.0395228 -.0339241
2011 | -.0287487 .0013824 -20.80 0.000 -.0314582 -.0260392
2012 | -.0400038 .0014159 -28.25 0.000 -.0427789 -.0372288
2013 | -.0360108 .0014802 -24.33 0.000 -.0389119 -.0331097
2014 | -.0400141 .0016956 -23.60 0.000 -.0433374 -.0366909
2015 | -.0479402 .0021016 -22.81 0.000 -.0520593 -.0438211
2016 | -.0435217 .0018269 -23.82 0.000 -.0471024 -.0399409
|
_cons | .5419014 .0852887 6.35 0.000 .3747387 .7090642
------------------------------------------------------------------------------
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation
Standard
D.L.lngdp
GMM-type (missing=0, separate instruments for each period unless collapsed)
L.(lngdp lndr lngcf lnsr lnopn)
Instruments for levels equation
Standard
L.lngdp
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(lngdp lndr lngcf lnsr lnopn)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -4.95 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -1.77 Pr > z = 0.077
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(89) =1550.21 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(89) = 109.06 Prob > chi2 = 0.073
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(34) = 65.53 Prob > chi2 = 0.001
Difference (null H = exogenous): chi2(55) = 43.54 Prob > chi2 = 0.868
iv(L.lngdp)
Hansen test excluding group: chi2(88) = 107.25 Prob > chi2 = 0.080
Difference (null H = exogenous): chi2(1) = 1.81 Prob > chi2 = 0.178
Will someone help me that how to improve the value of Arellano-Bond test for AR(2) in first differences and Hansen test of overid. restrictions: chi2(89) . Thanking in anticipation.
Kind Regards: Zubair Khan
Comment