[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

# Re: st: interpret xtabond one-step results

 From "Mansour Farahani" To Subject Re: st: interpret xtabond one-step results Date Fri, 10 Aug 2007 21:14:19 -0400

```In an autoregressive distributed lag (ADL) model:

Yt  =  a0 + a1Yt-1 + b0Xt + b1Xt-1 + et

We can derive the long-run equilibrium for E(Y) by considering what happens when Yt = Yt-1, Xt = Xt-1;

this yields:

E(Y) = a0 + a1E(Y) + b0X + b1X  giving the long-run solution for E(Y) as:

E(Y) = a0/(1 - a1) + {(b0 + b1)/(1 - a1)}X.

(b0 + b1)/(1 - b1) measures the long-run response of Y on average to a unit change in X, whereas b0 measures the short-run response.

then you use the following command
nlcom (_b[X]+ _b[L.X])/(1-_b[L.Y])

Mansour

>>> "Jing Tong" <ljtong@ucdavis.edu> 08/10/07 3:27 PM >>>
Dear Stata users

Could anyone please help me on the interpretation of the one-step results
as shown in the following example:

1)	how to report the coefficients and Z-values of the independent
variables? I mean, instead of reporting as Wit and Wi(t-1) separately,
how to get the coefficient and Z-value for W itself? And how to tell the
significance level for W, if (P>|z|) for D1 is 0.000 (significant at 1%
level) while (P>|z|) for LD is 0.100 (significant at 10% level)?
2)	For Sargan test of over-identifying restrictions, is the
(prob>chi2) the probability of accepting the null hypotheses of valid
instruments? In this example, it seems to show the strong evidence
against the null. Does it mean the specification is not valid at all?
3)	For AR(1) and AR(2) at the bottom of the output, is the (pr>z)
the probability of accepting the null hypotheses of no first-order and
second-order serial correlation? If the residuals are not serially
correlated, should there be evidence of significant negative first-order
serial correlation (i.e., pr>z close to 0) and not rejecting the null of
no second-order serial correlation (i.e., pr>z close to 1) ?

. xtabond n l(0/1).w k , lags(2)

Arellano-Bond dynamic panel data                Number of obs
=       611
Group variable (i): id                          Number of groups
=       140

Wald chi2(5)       =
350.58

Time variable (t): year                         min number of obs
=         4
max number of obs
=         6
mean number of obs =
4.364286

One-step results
--------------------------------------------------------------------------
----
n            |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+------------------------------------------------------------
----
n            |
LD |   .3751428   .1050691     3.57
0.000     .1692112    .5810745
L2D |  -.0822723   .0422479    -1.95   0.051    -
.1650766     .000532
w            |
D1 |  -.4754038   .0564188    -8.43   0.000    -.5859825    -
.364825
LD |    .208237   .0832401     2.50
0.012     .0450894    .3713847
k            |
D1 |   .3802498   .0352074    10.80
0.000     .3112446     .449255
_cons        |  -.0178497   .0041618    -4.29   0.000    -.0260068   -
.0096926
--------------------------------------------------------------------------
----
Sargan test of over-identifying restrictions:
chi2(25) =    97.07      Prob > chi2 = 0.0000

Arellano-Bond test that average autocovariance in residuals of order 1 is
0:
H0: no autocorrelation   z =  -3.02   Pr > z = 0.0026
Arellano-Bond test that average autocovariance in residuals of order 2 is
0:
H0: no autocorrelation   z =  -0.01   Pr > z = 0.9892

Thank you very much for your help!

- Jing

*
*   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/

*
*   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/
```

 © Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index