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

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

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Q about xtabond2 |

Date |
Tue, 23 Sep 2008 00:45:14 -0500 |

Hello I ran xtabond2 on my model only to find that all regressors were dropped except one because of collinearity. I'm a beginner of xtabond2, and I don't know how to solve this problem. As far as I know, there is no collinearity between regressors in my model. Please see my log below and help me. . xtabond2 dik l1_dik dsk l1_xinter4 l1_minter4 y9* y0*, gmm(l1_dik dls) iv(l1_xinter4 l1_minter4 y9* y0*) robust twostep Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm. dsk dropped due to collinearity l1_xinter4 dropped due to collinearity l1_minter4 dropped due to collinearity 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 y98 dropped due to collinearity y99 dropped due to collinearity y00 dropped due to collinearity y01 dropped due to collinearity y02 dropped due to collinearity y03 dropped due to collinearity y04 dropped due to collinearity y05 dropped due to collinearity y06 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 = 3630 Time variable : year Number of groups = 874 Number of instruments = 218 Obs per group: min = 2 Wald chi2(0) = . avg = 4.15 Prob > chi2 = . max = 10 ------------------------------------------------------------------------------ | Corrected dik | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- l1_dik | -3.51e-16 6.35e-16 -0.55 0.581 -1.59e-15 8.93e-16 _cons | -.0138521 .0035552 -3.90 0.000 -.0208202 -.006884 ------------------------------------------------------------------------------ Instruments for first differences equation Standard D.(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) L(1/.).(l1_dik 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_dik dls) ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -7.04 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -0.80 Pr > z = 0.422 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(216) = 714.97 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(216) = 270.06 Prob > chi2 = 0.007 (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(196) = 225.55 Prob > chi2 = 0.073 Difference (null H = exogenous): chi2(20) = 44.51 Prob > chi2 = 0.001 gmm(l1_dik dls, lag(1 .)) Hansen test excluding group: chi2(10) = 42.59 Prob > chi2 = 0.000 Difference (null H = exogenous): chi2(206) = 227.47 Prob > chi2 = 0.146 iv(l1_xinter4 l1_minter4 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99 y00 y01 y02 y03 y04 y05 y06 y07) Hansen test excluding group: chi2(205) = 249.65 Prob > chi2 = 0.018 Difference (null H = exogenous): chi2(11) = 20.41 Prob > chi2 = 0.040 Thank you in advance. 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/

- Prev by Date:
**st: x11 and X-stata version 10** - Next by Date:
**st: How can I interpret the result of xtabond2 ?** - Previous by thread:
**st: gllamm level 3 model** - Next by thread:
**st: How can I interpret the result of xtabond2 ?** - Index(es):

© Copyright 1996–2014 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |