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st: xtabond2 problem


From   Socrates Mokkas <socrates.mokkas@st-antonys.oxford.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 problem
Date   Wed, 13 Oct 2004 13:23:25 +0100 (BST)

Hi there,

I am trying to estimate a model with xtabond2 and I keep coming up with serious problems.
Below is the output of my effort.

Question No1: Why is it warning me that instruments are large relative to number of observations and how can I reduce the instruments. The only variable that I want to instrument is the lag of the dependent variable.

Question No2: Why is the covariance matrix of moment conditions singular? How can I get that right?

Question No3: Why is it dropping almost all the variables? I know that they are not multicollinear!

Thanks very much for your help,

Socrates

. xtabond2  ca L.ca dsolpr dsol dsolaft dwolpr dwol dwolaft dwcpr dwc dwcaft d1-d131, gmmstyle(L.ca, lag(1 2)) twostep robust
d1 dropped because of collinearity.
Building GMM instruments..
Warning: Number of instruments may be large relative to number of observations.
Estimating.
Warning: Two-step estimated covariance matrix of moment conditions is singular.
Number of instruments may be large relative to number of groups.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimatio
> n.
Computing Windmeijer finite-sample correction...........
Performing specification tests.

Arellano-Bond dynamic panel-data estimation, two-step system GMM results
------------------------------------------------------------------------------
Group variable: cntr                            Number of obs      =      1169
Time variable : t                               Number of groups   =        10
Number of instruments = 390                     Obs per group: min =        87
F(140, 9)     =      0.08                                      avg =    116.90
Prob > F      =     1.000                                      max =       131
------------------------------------------------------------------------------
             |              Corrected
             |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
ca           |
          L1 |  (dropped)
dsolpr       |   .0456957   .1109821     0.41   0.690    -.2053633    .2967546
dsol         |  (dropped)
dsolaft      |  (dropped)
dwolpr       |  (dropped)
dwol         |  (dropped)
dwolaft      |   .0516802   .6528166     0.08   0.939    -1.425094    1.528454
dwcpr        |  (dropped)
dwc          |  (dropped)
dwcaft       |  -.3606597   1.910496    -0.19   0.854    -4.682502    3.961182
d2           |  (dropped)
d3           |  (dropped)
d4           |  (dropped)
d5           |  (dropped)
d6           |  (dropped)
d7           |  (dropped)
d8           |  (dropped)
d9           |  (dropped)
d10          |  (dropped)
d11          |  (dropped)
d12          |  (dropped)
d13          |  (dropped)
d14          |  (dropped)
d15          |  (dropped)
d16          |  (dropped)
d17          |  (dropped)
d18          |  (dropped)
d19          |  (dropped)
d20          |  (dropped)
d21          |  (dropped)
d22          |    .004763   .0807997     0.06   0.954    -.1780188    .1875447
d23          |   .0389608   .0370386     1.05   0.320    -.0448263    .1227479
d24          |  (dropped)
d25          |  (dropped)
d26          |  (dropped)
d27          |  (dropped)
d28          |  (dropped)
d29          |  (dropped)
d30          |  (dropped)
d31          |  (dropped)
d32          |   .0040198   .0365386     0.11   0.915    -.0786363     .086676
d33          |  (dropped)
d34          |  (dropped)
d35          |  (dropped)
d36          |  (dropped)
d37          |  (dropped)
d38          |  (dropped)
d39          |  (dropped)
d40          |  (dropped)
d41          |  (dropped)
d42          |  (dropped)
d43          |  (dropped)
d44          |  (dropped)
d45          |  (dropped)
d46          |  (dropped)
d47          |  (dropped)
d48          |  (dropped)
d49          |  (dropped)
d50          |  (dropped)
d51          |  (dropped)
d52          |  (dropped)
d53          |  (dropped)
d54          |  (dropped)
d55          |  (dropped)
d56          |  (dropped)
d57          |  (dropped)
d58          |  (dropped)
d59          |  (dropped)
d60          |  (dropped)
d61          |  (dropped)
d62          |  (dropped)
d63          |  (dropped)
d64          |  (dropped)
d65          |  (dropped)
d66          |  (dropped)
d67          |  (dropped)
d68          |  (dropped)
d69          |  (dropped)
d70          |  (dropped)
d71          |  (dropped)
d72          |  (dropped)
d73          |  (dropped)
d74          |  (dropped)
d75          |  (dropped)
d76          |  (dropped)
d77          |  (dropped)
d78          |  (dropped)
d79          |  (dropped)
d80          |  (dropped)
d81          |  (dropped)
d82          |  (dropped)
d83          |  (dropped)
d84          |  (dropped)
d85          |  (dropped)
d86          |  (dropped)
d87          |  (dropped)
d88          |  (dropped)
d89          |  (dropped)
d90          |  (dropped)
d91          |  (dropped)
d92          |  (dropped)
d93          |  (dropped)
d94          |  (dropped)
d95          |  (dropped)
d96          |  (dropped)
d97          |  (dropped)
d98          |  (dropped)
d99          |  (dropped)
d100         |  (dropped)
d101         |  (dropped)
d102         |  (dropped)
d103         |  (dropped)
d104         |  (dropped)
d105         |  (dropped)
d106         |  (dropped)
d107         |  (dropped)
d108         |  (dropped)
d109         |  (dropped)
d110         |  (dropped)
d111         |   .9831839   3.246474     0.30   0.769    -6.360851    8.327219
d112         |   .7838466   3.484041     0.22   0.827    -7.097601    8.665295
d113         |  (dropped)
d114         |  -.0019199   .3928971    -0.00   0.996    -.8907149     .886875
d115         |  (dropped)
d116         |  (dropped)
d117         |  (dropped)
d118         |  (dropped)
d119         |  (dropped)
d120         |  (dropped)
d121         |  (dropped)
d122         |  (dropped)
d123         |  (dropped)
d124         |  (dropped)
d125         |  (dropped)
d126         |  (dropped)
d127         |  (dropped)
d128         |  (dropped)
d129         |  (dropped)
d130         |  (dropped)
d131         |  (dropped)
_cons        |   .0095233   .1761511     0.05   0.958    -.3889581    .4080047
------------------------------------------------------------------------------
Hansen test of overid. restrictions: chi2(249) =    0.00  Prob > chi2 =  1.000

Arellano-Bond test for AR(1) in first differences: z =  -0.06  Pr > z =  0.949
Arellano-Bond test for AR(2) in first differences: z =  -0.23  Pr > z =  0.814
------------------------------------------------------------------------------
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