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From |
"Mark Schaffer" <M.E.Schaffer@hw.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: xtabond2 problem |

Date |
Wed, 13 Oct 2004 16:27:29 +0100 |

Socrates, My guess is the key is your Question 3. These variables are all prefixed with "d". Are they dummies? If so, it's easy to see how first-differencing would wipe a lot of them out. Solve this and you'll probably solve Q2 as well. Regarding Q1, lots of instruments relative to the number of observations can generate severe finite- sample bias problems. It's nice that -xtabond2- alerts you to this; it's a potentially serious problem that many researchers aren't aware of. --Mark From: Socrates Mokkas <socrates.mokkas@st-antonys.oxford.ac.uk> Date sent: Wed, 13 Oct 2004 13:23:25 +0100 (BST) To: statalist@hsphsun2.harvard.edu Subject: st: xtabond2 problem Send reply to: statalist@hsphsun2.harvard.edu > 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/ Prof. Mark E. Schaffer Director Centre for Economic Reform and Transformation Department of Economics School of Management & Languages Heriot-Watt University, Edinburgh EH14 4AS UK 44-131-451-3494 direct 44-131-451-3008 fax 44-131-451-3485 CERT administrator http://www.som.hw.ac.uk/cert * * 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/

**References**:**st: xtabond2 problem***From:*Socrates Mokkas <socrates.mokkas@st-antonys.oxford.ac.uk>

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