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From |
dgw24@bath.ac.uk |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: XTABOND2 tests of autocorrelation and restrictions |

Date |
Mon, 19 Nov 2007 14:39:59 +0000 |

Hi, All

Using the XTABOND2 command I get significant and expected results. But I do not understand how to read the output for the autocorrelation test or the Hansen test. More specifically:

1) Is the Arellano-Bond test for AR(1) in first differences testing for autocorrelation in the full error term Eit or is it testing for autocorrelation in the Vit component of the error term.

2) What are the null and alternative hypothesizes in the Arellano Bond test. Does a P-value of 0.32 indicate that there is or is not autocorrelation?

3) If the P – Value is showing that autocorrelation is occurring in Vit – how can this be dealt with in the XTABOND2 command?

4) What are the null and alternative hypotheses in the Hansen test? Does a P-value of 0.271 indicate that I have used too many instruments?

Any help would be greatly appreciated.

Thanks

Daniel Wilde

FULL RESULTS ARE:

. xi: xtabond2 lngdata75 l.lngdata75 lngdata36 lngdata38 lngdata99 i.time5, gmm(l.data75) iv(lngd

ata36 lngdata38 lngdata99 i.time5) level robust

i.time5 _Itime5_1-10 (naturally coded; _Itime5_1 omitted) _Itime5_2 dropped because of collinearity. _Itime5_3 dropped because of collinearity. _Itime5_4 dropped because of collinearity. _Itime5_5 dropped because of collinearity. _Itime5_6 dropped because of collinearity. _Itime5_7 dropped because of collinearity. _Itime5_10 dropped because of collinearity. Building GMM instruments.. 7 instrument(s) dropped because of collinearity. Estimating. Performing specification tests. Dynamic panel-data estimation, one-step system GMM ------------------------------------------------------------------------------ Group variable: unit_id Number of obs = 182 Time variable : time5 Number of groups = 103 Number of instruments = 26 Obs per group: min = 1 Wald chi2(5) = 9856.70 avg = 1.77 Prob > chi2 = 0.000 max = 3 ------------------------------------------------------------------------------ | Robust lngdata75 | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lngdata75 | L1 | .7644667 .0506732 15.09 0.000 .6651489 .8637844 lngdata36 | -.2266392 .0425735 -5.32 0.000 -.3100817 -.1431967 lngdata38 | .1954291 .0653342 2.99 0.003 .0673764 .3234818 lngdata99 | -.2925302 .1153542 -2.54 0.011 -.5186202 -.0664401 _Itime5_8 | .0324644 .0234058 1.39 0.165 -.01341 .0783389 _Itime5_9 | -.0185157 .0244261 -0.76 0.448 -.06639 .0293586 _cons | 3.23673 .8508868 3.80 0.000 1.569023 4.904438 ------------------------------------------------------------------------------ Instruments for first differences equation Standard lngdata36 lngdata38 lngdata99 _Itime5_2 _Itime5_3 _Itime5_4 _Itime5_5 _Itime5_6 _Itime5_7 _Itime5_8 _Itime5_9 _Itime5_10 GMM-type (separate instruments for each period) L(1/.).L.data75 Instruments for levels equation Standard _cons lngdata36 lngdata38 lngdata99 _Itime5_2 _Itime5_3 _Itime5_4 _Itime5_5 _Itime5_6 _Itime5_7 _Itime5_8 _Itime5_9 _Itime5_10 GMM-type (separate instruments for each period) D.L.data75 (Instrument count reported above excludes 7 of these as collinear.) ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -0.99 Pr > z = 0.321 Arellano-Bond test for AR(2) in first differences: z = . Pr > z = . ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(19) = 114.77 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(19) = 22.26 Prob > chi2 = 0.271 (Robust, but can be weakened by many instruments.) . * * 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: problem with mvprobit***From:*"Georg Metzger" <Metzger@zew.de>

**Re: st: problem with mvprobit***From:*SamL <saml@demog.berkeley.edu>

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