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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 ------------------------------------------------------------------------------ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: xtabond2 problem***From:*"Mark Schaffer" <M.E.Schaffer@hw.ac.uk>

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