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st: Re: xtabond2 questions: too many instruments / singular covariance matrix


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: xtabond2 questions: too many instruments / singular covariance matrix
Date   Sat, 2 May 2009 17:10:33 +0200

<>

There was a comprehensive introduction to this command recently in the SJ
http://www.stata-journal.com/article.html?article=st0159
which may be worth reading for you...


HTH
Martin
_______________________
----- Original Message ----- From: "susie karnes" <susiekarnes@gmail.com>
To: "statalist" <statalist@hsphsun2.harvard.edu>
Sent: Saturday, May 02, 2009 4:58 PM
Subject: st: xtabond2 questions: too many instruments / singular covariance matrix


Dear statalisters:

I am getting the following warnings when I run a system GMM with xtabond2:

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 optimal weighting matrix for
two-step estimation.
Difference-in-Sargan/Hansen statistics may be negative.

Is it a concern that the matrix is singular? Is this because of the
relatively large number of instruments here?
What can be done to resolve the issue? Limiting the number of
instruments and collapsing?

Also, with the use of system GMM, is there a test that should be run
that evaluates the stationarity of the series?

Many thanks for any advice that you can offer.
Best regards,
Susan

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