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st: xtabond estimation. Sargan and AB test


From   Cristina Conflitti <cristina.conflitti@ulb.ac.be>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond estimation. Sargan and AB test
Date   Wed, 19 Nov 2008 15:01:04 +0100 (CET)

Dear all, 
I estimated the following dynamic panel model on economic growth obtaining the following results:


 xtabond gdppc_gr if eu27==1 & year>=2000, pre(educ socialexp, lag(0,1)) pre(ln_gdp_pc, lag(0,1)) lags(1)

Arellano-Bond dynamic panel-data estimation     Number of obs      =       151
Group variable (i): countryn                    Number of groups   =        26

                                                Wald chi2(4)       =    100.52

Time variable (t): year                         Obs per group: min =         5
                                                               avg =  5.807692
                                                               max =         6

One-step results
------------------------------------------------------------------------------
  D.gdppc_gr |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
    gdppc_gr |
         LD. |   -.034262   .0731906    -0.47   0.640    -.1777129    .1091889
        educ |
         D1. |   .1479119   .1160591     1.27   0.203    -.0795596    .3753835
   socialexp |
         D1. |  -1.032387   .1780187    -5.80   0.000    -1.381297   -.6834765
   ln_gdp_pc |
         D1. |   6.809475   2.934207     2.32   0.020     1.058535    12.56042
       _cons |  -.2916244   .1720441    -1.70   0.090    -.6288246    .0455758
------------------------------------------------------------------------------
Sargan test of over-identifying restrictions:     
         chi2(77) =   147.76      Prob > chi2 = 0.0000

Arellano-Bond test that average autocovariance in residuals of order 1 is 0:
         H0: no autocorrelation   z =  -3.41   Pr > z = 0.0007
Arellano-Bond test that average autocovariance in residuals of order 2 is 0:
         H0: no autocorrelation   z =  -0.68   Pr > z = 0.4989

As you see the lagged dependent variable is not significant, what does it mean? the lagged value used as an instrument is not good?
Moreover the Sargan test gives no overidentification problems, but the AB test at the 2nd  order is not significant. How can I interpret them?

thanks
Cristina

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