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From |
"Augusto Cadenas" <aug.cadenas@googlemail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: xtabond2: Sargan test |

Date |
Mon, 18 Aug 2008 18:32:43 +0200 |

Sevcan, sorry to reply only with more questions, but...: why don't you include the lagged dependent variable L.y in your -gmm()- option? After all, that's the whole point about the dynamic panels literature. If your tests reject the null, why don't you try the difference GMM estimator instead? (option -noleveleq-) It could be that the assumption underlying system GMM, namely that initial values be uncorrelated to the fixed effects, is violated in your dataset. And finally: do you have an economic rationale for the suboptions -eq(diff)- and -eq(level)- you're using there? Augusto On Mon, Aug 18, 2008 at 8:53 AM, sevcan yesiltas <yesiltas@bilkent.edu.tr> wrote: > Dear All, > > Using DPD, I am trying to estimate the following equation of the general > form , > > yit=a(y)it-1+b(x)it-1+(n)i+(d)t+(v)it i=1,2,....,N & t=1,2,...,T > > I have two samples, first one is an unbalanced panel that consists of > nearly 30.000 observations ( every firm has observations for at least 3 > consecutive years); the second one is a balanced panel that consists of > approximately 600 firms having information for the whole period. My > analysis stands for 1994-2006 period. > In stata 9, via commands recently updated by David Roodman, I use the > following command; > xi:xtabond2 y L.y L.x i.year,gmm(L.x,eq(diff)) iv(i.year,eq(level)) small > robust two ( since my regressors are endogeneous and correlated with > firm-specific effects) I run may commands in order to find valid > instruments.( using only second lags, using older lags, collapsing all > instruments). But none of my estimation results (for both samples) have a > p-value grater than 0.1 for > sargan and hansen test, indeed p values are always 0.000. In short, I am > not able to get the wanted p values. > Is it because of maybe persistent data I am working with, or > multicollinearity between the regressors? > If so, anyone knows a panel unit root test works with unbalanced data in > stata?(levinlin, ipshin,madfuller, all work with balanced panel) > if anyone helps, I strongly appreciate it! > Best regards > Sevcan > > > > > > > -- > Sy > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: xtabond2: Sargan test***From:*sevcan yesiltas <yesiltas@bilkent.edu.tr>

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