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st: twostep xtabond


From   ahmed al-darwish <dar_ahmed@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: twostep xtabond
Date   Sun, 2 Mar 2008 12:51:51 -0800 (PST)

Dear statalisters; 
I'm trying to estimate a model using
TWOSTEP(xtabond)and I keep getting most of my
variables dropped(although there isn't any co
linearity problem))that is happened only when I add
the option (twostep); but it is OK when using the
one-step estimator. 
My model as follows:

ROA(it)=ROA(i(t-1))+X(it)+ Z(t)+ year dummies+ uit
 
-X(it):changes over time per firm.
-Z(t): change only over time.

I used xtabond2 ..I got the same problem too. Also, I
used Stata-10 xtdpdsys..the same problem...I used the
system GMM I got the same problem of dropped
variables... 
-I tried taking out the dummy variables or the
only-time-changing variables or both.. but .. no way
out?!
-Can any one suggest doing something please ?!

Here are my results:

The two step-results:
. xtabond  ROA_new repo l.repo l_age l_ta  l_sqASST  
LaborPro l.LaborPro  loans_ta l.loans_ta  lq_ta 
l.lq_ta oc_oi l.oc_oi  mr
> 1 cpi    RGDPgrw  overhead    HHI_loan      stmktcap
      FS_EF_TVTNIM yr2  yr3 yr4 yr10 yr14 yr15 , small
maxldep(1) maxlags
> (2) endogenous(eq_ta,lag(1,.)) two

small is a deprecated option

Arellano-Bond dynamic panel-data estimation  Number of
obs         =       150
Group variable: bank1                        Number of
groups      =        10
Time variable: year
                                             Obs per
group:    min =        15
                                                      
        avg =        15
                                                      
        max =        15

Number of instruments =     56               Wald
chi2(10)         =   1115.06
                                             Prob >
chi2           =    0.0000
Two-step results
------------------------------------------------------------------------------
     ROA_new |      Coef.   Std. Err.      z    P>|z| 
   [95% Conf. Interval]
-------------+----------------------------------------------------------------
     ROA_new |
         L1. |  (dropped)
       eq_ta |
         --. |  (dropped)
         L1. |  (dropped)
        repo |
         --. |   .0004397   .0003699     1.19   0.235 
  -.0002854    .0011647
         L1. |  -.0004259   .0003443    -1.24   0.216 
  -.0011007     .000249
       l_age |  (dropped)
        l_ta |   .0128983   .0046551     2.77   0.006 
   .0037744    .0220222
    l_sqASST |  -.0012276   .0004462    -2.75   0.006 
  -.0021021   -.0003531
    LaborPro |
         --. |    .039226   .0106196     3.69   0.000 
   .0184119    .0600401
         L1. |  (dropped)
    loans_ta |
         --. |  (dropped)
         L1. |  (dropped)
       lq_ta |
         --. |  (dropped)
         L1. |  (dropped)
       oc_oi |
         --. |  (dropped)
         L1. |  (dropped)
         mr1 |  (dropped)
         cpi |   .0002256   .0001576     1.43   0.152 
  -.0000833    .0005344
     RGDPgrw |  (dropped)
    overhead |  (dropped)
    HHI_loan |  (dropped)
    stmktcap |  (dropped)
FS_EF_TVTNIM |   .0000362   .0000634     0.57   0.568 
  -.0000881    .0001606
         yr2 |  (dropped)
         yr3 |   .0003803   .0013689     0.28   0.781 
  -.0023026    .0030632
         yr4 |  (dropped)
        yr10 |  -.0007715    .001152    -0.67   0.503 
  -.0030293    .0014864
        yr14 |  (dropped)
        yr15 |  -.0021436    .001253    -1.71   0.087 
  -.0045994    .0003123
       _cons |  (dropped)
------------------------------------------------------------------------------
Warning: gmm two-step standard errors are biased;
robust standard 
         errors are recommended.
Instruments for differenced equation
        GMM-type: L(2/2).ROA_new L(2/2).L.eq_ta
        Standard: D.repo LD.repo D.l_age D.l_ta
D.l_sqASST D.LaborPro LD.LaborPro D.loans_ta
LD.loans_ta D.lq_ta LD.lq_ta
                  D.oc_oi LD.oc_oi D.mr1 D.cpi
D.RGDPgrw D.overhead D.HHI_loan D.stmktcap
D.FS_EF_TVTNIM D.yr2 D.yr3 D.yr4
                  D.yr10 D.yr14 D.yr15
Instruments for level equation
        Standard: _cons




and the one-step results:


. xtabond  ROA_new repo l.repo l_age l_ta  l_sqASST  
LaborPro l.LaborPro  loans_ta l.loans_ta  lq_ta 
l.lq_ta oc_oi l.oc_oi  mr
> 1 cpi    RGDPgrw  overhead    HHI_loan      stmktcap
      FS_EF_TVTNIM yr2  yr3 yr4 yr10 yr14 yr15 , small
maxldep(1) maxlags
> (2) endogenous(eq_ta,lag(1,.)) vce(r)
small is a deprecated option

Arellano-Bond dynamic panel-data estimation  Number of
obs         =       150
Group variable: bank1                        Number of
groups      =        10
Time variable: year
                                             Obs per
group:    min =        15
                                                      
        avg =        15
                                                      
        max =        15

Number of instruments =     56               Wald
chi2(9)          =    145.84
                                             Prob >
chi2           =    0.0000
One-step results
------------------------------------------------------------------------------
             |               Robust
     ROA_new |      Coef.   Std. Err.      z    P>|z| 
   [95% Conf. Interval]
-------------+----------------------------------------------------------------
     ROA_new |
         L1. |   .2126414   .1077665     1.97   0.048 
   .0014229    .4238599
       eq_ta |
         --. |   .1615146   .0429736     3.76   0.000 
    .077288    .2457413
         L1. |  -.1113438   .0473595    -2.35   0.019 
  -.2041667   -.0185209
        repo |
         --. |   .0011525   .0008483     1.36   0.174 
  -.0005101    .0028151
         L1. |   .0033409   .0023355     1.43   0.153 
  -.0012366    .0079184
       l_age |    .004378   .0046463     0.94   0.346 
  -.0047286    .0134846
        l_ta |   .0827912   .0396641     2.09   0.037 
    .005051    .1605313
    l_sqASST |   -.004615    .001851    -2.49   0.013 
  -.0082429   -.0009871
    LaborPro |
         --. |   .0264518   .0077233     3.42   0.001 
   .0113144    .0415891
         L1. |  -.0066753   .0075767    -0.88   0.378 
  -.0215254    .0081748
    loans_ta |
         --. |   .0145953   .0138097     1.06   0.291 
  -.0124713    .0416619
         L1. |  -.0309462   .0116349    -2.66   0.008 
  -.0537502   -.0081422
       lq_ta |
         --. |  -.0483015    .080012    -0.60   0.546 
  -.2051222    .1085192
         L1. |  -.0534446   .0921197    -0.58   0.562 
  -.2339959    .1271067
       oc_oi |
         --. |  -.0161311    .001885    -8.56   0.000 
  -.0198257   -.0124366
         L1. |  -.0092007   .0043243    -2.13   0.033 
  -.0176762   -.0007252
         mr1 |   .0254298   .0561967     0.45   0.651 
  -.0847138    .1355734
         cpi |   .0014306   .0004817     2.97   0.003 
   .0004865    .0023748
     RGDPgrw |  -.0113802   .0114071    -1.00   0.318 
  -.0337377    .0109772
    overhead |  -.4649442    1.17125    -0.40   0.691 
  -2.760552    1.830664
    HHI_loan |  -.4583331   .2681471    -1.71   0.087 
  -.9838918    .0672256
    stmktcap |  -.0201806   .0559329    -0.36   0.718 
   -.129807    .0894459
FS_EF_TVTNIM |   .0003301   .0006769     0.49   0.626 
  -.0009966    .0016568
         yr2 |   .0525664   .0312454     1.68   0.092 
  -.0086735    .1138063
         yr3 |   .0340745   .0205016     1.66   0.097 
  -.0061078    .0742568
         yr4 |    .006722   .0052519     1.28   0.201 
  -.0035716    .0170156
        yr10 |   .0042994   .0021829     1.97   0.049 
    .000021    .0085778
        yr14 |  -.0091958   .0047205    -1.95   0.051 
  -.0184478    .0000563
        yr15 |  -.0055886   .0036531    -1.53   0.126 
  -.0127486    .0015714
       _cons |  -.2958679   .2091643    -1.41   0.157 
  -.7058224    .1140866
------------------------------------------------------------------------------
Instruments for differenced equation
        GMM-type: L(2/2).ROA_new L(2/2).L.eq_ta
        Standard: D.repo LD.repo D.l_age D.l_ta
D.l_sqASST D.LaborPro LD.LaborPro D.loans_ta
LD.loans_ta D.lq_ta LD.lq_ta
                  D.oc_oi LD.oc_oi D.mr1 D.cpi
D.RGDPgrw D.overhead D.HHI_loan D.stmktcap
D.FS_EF_TVTNIM D.yr2 D.yr3 D.yr4
                  D.yr10 D.yr14 D.yr15
Instruments for level equation
        Standard: _cons

 


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