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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