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From |
"Lee, Seung-Won (MU-Student)" <slrgd@mizzou.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: How can I interpret the result of xtabond2 ? |

Date |
Mon, 22 Sep 2008 23:18:15 -0500 |

Dear stata users I'm a just beginner for xtabond2, so I don't know how to interpret the result below especially regarding Arellano-Bond autocorrelation test, Sargan test and Hansen test. I'm not sure but my guess is that it says that there is both AR(1) and AR(2), may be some IVs are correlated with error term. If my guess is right, then what should I do? Please see my log below and help!! . xtabond2 dlcapx l1_dlcapx dls l1_xinter4 l1_minter4 y9* y0*, gmm(l1_dlcapx dls) iv(l1_xinter4 l1_minter4 y9* y0*, equation(level)) orth > ogonal robust twostep Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm. y90 dropped due to collinearity y91 dropped due to collinearity y92 dropped due to collinearity y93 dropped due to collinearity y94 dropped due to collinearity y95 dropped due to collinearity y96 dropped due to collinearity y97 dropped due to collinearity y07 dropped due to collinearity Warning: Two-step estimated covariance matrix of moments is singular. Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Difference-in-Sargan statistics may be negative. Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: gvkey Number of obs = 3607 Time variable : year Number of groups = 874 Number of instruments = 218 Obs per group: min = 2 Wald chi2(13) = 211.52 avg = 4.13 Prob > chi2 = 0.000 max = 10 ------------------------------------------------------------------------------ | Corrected dlcapx | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- l1_dlcapx | -.2007464 .0302184 -6.64 0.000 -.2599734 -.1415195 dls | .6778161 .0993139 6.82 0.000 .4831644 .8724677 l1_xinter4 | -2.53827 1.47796 -1.72 0.086 -5.43502 .3584791 l1_minter4 | 17.70894 5.754314 3.08 0.002 6.430696 28.98719 y98 | -.0185858 .2891494 -0.06 0.949 -.5853082 .5481365 y99 | -.0792788 .2839134 -0.28 0.780 -.6357388 .4771813 y00 | -.0249017 .2810219 -0.09 0.929 -.5756945 .5258911 y01 | -.2103614 .2918474 -0.72 0.471 -.7823718 .361649 y02 | -.2527464 .2846071 -0.89 0.375 -.8105661 .3050734 y03 | -.0863709 .2797089 -0.31 0.757 -.6345903 .4618485 y04 | .2565646 .2892443 0.89 0.375 -.3103438 .8234729 y05 | .1678996 .2790313 0.60 0.547 -.3789918 .7147909 y06 | .0993331 .2821207 0.35 0.725 -.4536133 .6522794 _cons | -.0553731 .277753 -0.20 0.842 -.599759 .4890129 ------------------------------------------------------------------------------ Instruments for orthogonal deviations equation GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/.).(l1_dlcapx dls) Instruments for levels equation Standard _cons l1_xinter4 l1_minter4 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99 y00 y01 y02 y03 y04 y05 y06 y07 GMM-type (missing=0, separate instruments for each period unless collapsed) D.(l1_dlcapx dls) ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -6.72 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -3.23 Pr > z = 0.001 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(204) = 621.40 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(204) = 238.63 Prob > chi2 = 0.049 (Robust, but can be weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(184) = 216.29 Prob > chi2 = 0.052 Difference (null H = exogenous): chi2(20) = 22.35 Prob > chi2 = 0.322 iv(l1_xinter4 l1_minter4 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99 y00 y01 y02 y03 y04 y05 y06 y07, eq(level)) Hansen test excluding group: chi2(193) = 227.63 Prob > chi2 = 0.045 Difference (null H = exogenous): chi2(11) = 11.00 Prob > chi2 = 0.443 I really appreciate your cooperation!! Caleb * * 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/

**Follow-Ups**:**Re: st: How can I interpret the result of xtabond2 ?***From:*Johannes Geyer <JGeyer@diw.de>

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