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Re: st: xtabond - testing coefficients


From   Giovanni Bruno <giovanni.bruno@uni-bocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtabond - testing coefficients
Date   Mon, 17 Jun 2002 12:41:46 +0200

At 10.46 17/06/02 +1000, you wrote:
Hi

I'm trying to better understand the 'xtabond' command. In particular, I'm wondering if it is possible to carry out tests on individual variables that are part of an xtabond model. Eg, I'm running the model:

xtabond indmfp indgap , lags(2) pre(indpdfl1 indpdfl2 , lagstruct (0, 2)) robust

and I want to know if indpdfl1 and indpdfl2 are jointly significantly different from zero? My attempts to do this through the 'test' command are producing r(111) ('variable not found', etc) error messages. Is it possible to conduct this type of test after 'xtabond'? (As I said, I'm still trying to get head around how this model works.)

Tim

Perhaps you are failing to include the variables following -test- in first differences (and with the appropriate lags).

-xtabond- transforms your model in first differences. So, if a variable x is an explanatory variable of your model (whether exogenous or predetermined), -xtabond- takes it in first differences and the variable actually recognized by -test- is D.x. A log file of mine illustrating this follows.

. xtabond LnNE Lnw, lags(2) pre( LnP90 LnVA)

Arellano-Bond dynamic panel data Number of obs = 672
Group variable (i): sector Number of groups = 32

Wald chi2(5) = 6617.38

Time variable (t): year min number of obs = 21
max number of obs = 21
mean number of obs = 21

One-step results
------------------------------------------------------------------------------
LnNE | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
LnNE |
LD | .8781118 .0341416 25.72 0.000 .8111955 .9450282
L2D | -.0778004 .0322619 -2.41 0.016 -.1410327 -.0145682
LnP90 |
D1 | -.0263407 .0081334 -3.24 0.001 -.0422819 -.0103996
LnVA |
D1 | .1523871 .0131332 11.60 0.000 .1266465 .1781277
Lnw |
D1 | -.1606018 .0131561 -12.21 0.000 -.1863874 -.1348162
_cons | -.0001503 .0009943 -0.15 0.880 -.002099 .0017984
------------------------------------------------------------------------------
Sargan test of over-identifying restrictions:
chi2(754) = 768.71 Prob > chi2 = 0.3469

Arellano-Bond test that average autocovariance in residuals of order 1 is 0:
H0: no autocorrelation z = -15.33 Pr > z = 0.0000
Arellano-Bond test that average autocovariance in residuals of order 2 is 0:
H0: no autocorrelation z = 1.14 Pr > z = 0.2547

. test D.LnVA + D.LnP90=0

( 1) D.LnP90 + D.LnVA = 0.0

chi2( 1) = 70.70
Prob > chi2 = 0.0000


I hope this helps
Giovanni


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