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st: xtabond2 on growth gdp


From   Cristina Conflitti <cristina.conflitti@ulb.ac.be>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 on growth gdp
Date   Wed, 10 Dec 2008 13:58:26 +0100 (CET)

dear statalist users, 
I run the xtabond2 specifiyng nolevel on a growth regression. Here are the results,

 xtabond2 gdppc_gr l.(ln_gdp_pc educ socialexp) if year >= 1996 & eu15==1, gmm(l.(ln_gdp_pc educ socialexp)) iv(year19
> 96- year2007) nolevel robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Number of instruments may be large relative to number of observations.
Warning: Two-step estimated covariance matrix of moments is singular.
  Using a generalized inverse to calculate robust weighting matrix for Hansen test.
  Difference-in-Sargan statistics may be negative.

Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: countryn                        Number of obs      =       164
Time variable : year                            Number of groups   =        15
Number of instruments = 164                     Obs per group: min =        10
Wald chi2(3)  =    107.15                                      avg =     10.93
Prob > chi2   =     0.000                                      max =        11
------------------------------------------------------------------------------
             |               Robust
    gdppc_gr |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
   ln_gdp_pc |
         L1. |  -12.03326   1.821334    -6.61   0.000    -15.60301   -8.463515
        educ |
         L1. |    .154065   .0442216     3.48   0.000     .0673923    .2407378
   socialexp |
         L1. |  -.0969494   .1132011    -0.86   0.392    -.3188194    .1249207
------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
    D.(year1996 year1997 year1998 year1999 year2000 year2001 year2002 year2003
    year2004 year2005 year2006 year2007)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/.).(L.ln_gdp_pc L.educ L.socialexp)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -2.35  Pr > z =  0.019
Arellano-Bond test for AR(2) in first differences: z =   1.08  Pr > z =  0.279
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(161)  = 296.49  Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(161)  =  14.17  Prob > chi2 =  1.000
  (Robust, but can be weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:
  iv(year1996 year1997 year1998 year1999 year2000 year2001 year2002 year2003 year2004 year2005 year2006 year2007)
    Hansen test excluding group:     chi2(159)  =  14.17  Prob > chi2 =  1.000
    Difference (null H = exogenous): chi2(2)    =   0.00  Prob > chi2 =  1.000


What can I conclude from Abond test, Sargan and Hansen tests?I am a bit confused!!
thanks
Cristina

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