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Re: st: RE: xtabond/xtabond2 equivalent specification


From   Janine Darfield <janine_darfield@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: xtabond/xtabond2 equivalent specification
Date   Tue, 6 Jun 2006 16:43:14 +0100 (BST)

Thank you Jean for your corrections and suggestion.
However, the 2 specifications (xtabond and xtabond2,
using the corrected specification you suggested, still
do not seem to yield the same results. Can anyone see
what is going wrong?

.xtabond ROA size if OK==1, lags(1) maxldep(4)
maxlags(4) pre(vara varb varc,lagstruct(0,4))
pre(vard,	lagstruct(0,4) endogenous) robust artests(2)
noconstant

. xtabond2 ROA l.ROA size vara varb varc vard if
OK==1, iv(size) gmm(l.ROA vara varb varc l.vard, lag(0
4))	robust	noleveleq

(commands and output pasted below)

Thanks,
Janine


XTABOND:

.xtabond ROA size if OK==1, lags(1) maxldep(4)
maxlags(4) pre(vara varb varc,lagstruct(0,4))
pre(vard,	lagstruct(0,4) endogenous) robust artests(2)
noconstant

Arellano-Bond dynamic panel-data estimation     
Number of obs      =     19188
Group variable (i): gvkey                       
Number of groups   =       644

Wald chi2(.)       =         .

Time variable (t): date                         
Obs per group: min =         4
avg =  29.79503
max =        43

One-step results

Robust
D.ROA       Coef.   Std. Err.      z    P>z     [95%
Conf. Interval]

ROA 
LD.    .0851945   .0163457     5.21   0.000    
.0531575    .1172315
vara 
D1.   -1.03e-06   7.78e-07    -1.32   0.186   
-2.55e-06    4.96e-07
varb 
D1.   -.0123586   .0029563    -4.18   0.000   
-.0181528   -.0065644
varc 
D1.    .0222433    .008245     2.70   0.007    
.0060834    .0384032
vard 
D1.    .0387917   .0102903     3.77   0.000    
.0186231    .0589602
size 
D1.    .0790556   .0227795     3.47   0.001    
.0344086    .1237026

Arellano-Bond test that average autocovariance in
residuals of order 1 is 0:
H0: no autocorrelation   z =  -5.02   Pr > z = 0.0000
Arellano-Bond test that average autocovariance in
residuals of order 2 is 0:
H0: no autocorrelation   z =  -0.39   Pr > z = 0.6937

--------------------

XTABOND2:

. xtabond2 ROA l.ROA size vara varb varc vard if
OK==1, iv(size) gmm(l.ROA vara varb varc l.vard, lag(0
4))	robust	noleveleq
Favoring space over speed. To switch, type or click on
mata: mata set matafavor speed.
Warning: Number of instruments may be large relative
to number of observations.
Suggested rule of thumb: keep number of instruments <=
number of groups.

Arellano-Bond dynamic panel-data estimation, one-step
difference GMM results

Group variable: gvkey            
Number of obs      =     19188
Time variable : date                  
Number of groups   =       644
Number of instruments = 1055                    
Obs per group: min =         4
Wald chi2(6)  =    161.10                             
        avg =     29.80
Prob > chi2   =     0.000                             
        max =        43

Robust
Coef.   Std. Err.      z    P>z     [95% Conf.
Interval]

ROA 
L1.   -.0851043   .0278936    -3.05   0.002   
-.1397748   -.0304338
size    .1497114   .0231574     6.46   0.000    
.1043238     .195099
vara   -9.15e-07   7.05e-07    -1.30   0.194   
-2.30e-06    4.66e-07
varb   -.0244269   .0030017    -8.14   0.000   
-.0303103   -.0185436
varc    .0233414   .0068269     3.42   0.001    
.0099608     .036722
vard    .0608585   .0170534     3.57   0.000    
.0274344    .0942826

Hansen test of overid. restrictions: chi2(1140) =
643.47  Prob > chi2 =  1.000

Arellano-Bond test for AR(1) in first differences: z =
 -4.25  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =
 -2.44  Pr > z =  0.015


-Janine


--- "Salvati, Jean" <JSalvati@imf.org> wrote:

> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On
> Behalf Of 
> > Janine Darfield
> > Sent: Monday, June 05, 2006 11:03 AM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: xtabond/xtabond2 equivalent
> specification
> > 
> > Hi all,
> > 
> > I thought that the following 2 commands should be
> equivalent, 
> > but they are not. Can anyone point out where I am
> going 
> > wrong, or what an equivalent specification would
> be?
> > 
> > .xtabond depvar size if date<120, lags(1)
> maxldep(4)
> > maxlags(4) pre(a b c, lagstruct(0,4)) pre(d,
> > lagstruct(0,4) endogenous) robust artests(2)
> noconstant and
> > .xtabond2 depvar size a b c d if date<120,
> gmm(l.depvar a b c 
> > d, lag(0 4)) robust noleveleq
> 
> There are at least three differences. 
> 
> First, d is endogenous in your xtabond command, but
> predetermined in
> your xtabond2 command. If you want xtabond2 to treat
> d as endogenous,
> you should replace gmm(l.depvar a b c d, lag(0 4))
> with  gmm(l.depvar a
> b c l.d, lag(0 4)).
> 
> Second, you need to include l.depvar in the list of
> regressors in your
> xtabond2 command.
> 
> Third, you need to tell xtabond2 that size is
> exogenous.
> 
> The resulting xtabond2 command is:
> 
> .xtabond2 depvar l.depvar size a b c d if date<120,
> iv(size)
> gmm(l.depvar a b c l.d, lag(0 4)) robust noleveleq
> 
> Jean Salvati
> 
> 
> *
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