Hi,
Could someone please tell me why do I get the t-statistics reported
instead of the z- statistics in a large sample of over 50,000
observations (6812 firms, 37 countries, 7 industries and t=4,...16)
when I estimate a dynamic panel data model using GMM difference or GMM
System estimators using xtabond2 command ?.
I do not specify small option in the estimation equation.
I am suspecting that this (reported t- statistics) has to do with the
WARNING message that I get when using the GMM difference or GMM System
estimators in xtabond2:
"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 robust weighting
matrix for Hansen test".
The reason why I am linking the warning message to the reported t-
statistics is that the largest number of instruments I ever had is 306
instruments while the number of groups(firms) is 6,812. So it cannot be
that the number of instruments is larger than the number of groups ?!.
So, may be there is something wrong with STATA identifying the
dimensions of my data set ?. I dont know ?. When I tsset my data, the
panel id and the time variable are correctly identified.
I would very much appreciate your help.
Thanks in advance,
Dahlia El-Hawary
PhD Candidate
Economics Department
George Washington University
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