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st: RE: Cannot calculate AR and Sargan tests (returning .)


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Cannot calculate AR and Sargan tests (returning .)
Date   Tue, 1 Jun 2010 19:42:55 +0100

Not my territory, but I would try the command again but this time
omitting the variables flagged as dropped. 

Nick 
n.j.cox@durham.ac.uk 

Rodrigo Refoios Camejo

I'm having a problem to get both the AR and the Sargan tests when
using xtabond and xtdpdsys (please see below for specification used).
Basically it's coming back saying that they cannot be calculated with
dropped variables:

. estat sargan
Sargan test of overidentifying restrictions
        H0: overidentifying restrictions are valid
        cannot calculate Sargan test with dropped variables

        chi2(39)     =         .
        Prob > chi2  =         .

. estat abond
        cannot calculate AR tests with dropped variables

Arellano-Bond test for zero autocorrelation in first-differenced errors
  cannot calculate test with dropped variables
  +-----------------------+
  |Order |  z     Prob > z|
  |------+----------------|
  |   1  |      .       . |
  |   2  |      .       . |
  +-----------------------+
   H0: no autocorrelation

What does this mean and how can I overcome this? I'm trying to
everything by the book but I'm certainly missing something...

Many thanks in advance for your help!
R


. xtabond price_MD generic original  d_lag2_mol lag_m2_1st_sc
lag_m2_1st_sc lag_prod_sc  scC3A scC8A scC9A scC9B scC9C scC9D scC9X
n_prod_sc n_mol_sc n_gen_m	L1.n_prod_sc L1.n_mol_sc L1.n_gen_m  y19
> 98 y1999 y2000 y2001 y2002 y2003 y2004 y2005 y2006 y2007 y2008 if
pack_size==., noconstant lags(3) maxldep(3) maxlags(2) pre(q_prodRmol
q_prodRsc q_molRsc	pMD_ml_mol pMD_ml_sc pMD_ml_c) artests(2
> )
note: generic dropped from div() because of collinearity
note: original dropped from div() because of collinearity
note: lag_m2_1st_sc dropped from div() because of collinearity
note: lag_prod_sc dropped from div() because of collinearity
note: scC3A dropped from div() because of collinearity
note: scC8A dropped from div() because of collinearity
note: scC9A dropped from div() because of collinearity
note: scC9B dropped from div() because of collinearity
note: scC9C dropped from div() because of collinearity
note: scC9D dropped from div() because of collinearity
note: scC9X dropped from div() because of collinearity
note: n_mol_sc dropped from div() because of collinearity
note: L.n_prod_sc dropped from div() because of collinearity
note: L.n_mol_sc dropped from div() because of collinearity
note: L.n_gen_m dropped from div() because of collinearity
note: y1998 dropped from div() because of collinearity
note: y1999 dropped from div() because of collinearity
note: y2000 dropped from div() because of collinearity
note: y2008 dropped from div() because of collinearity
note: L2.price_MD dropped because of collinearity
note: pMD_ml_c dropped because of collinearity
note: lag_m2_1st_sc dropped because of collinearity
note: scC3A dropped because of collinearity
note: scC8A dropped because of collinearity
note: scC9D dropped because of collinearity
note: scC9X dropped because of collinearity
note: L.n_mol_sc dropped because of collinearity
note: y1998 dropped because of collinearity
note: y1999 dropped because of collinearity
note: y2000 dropped because of collinearity
note: y2001 dropped because of collinearity

Arellano-Bond dynamic panel-data estimation  Number of obs         =
782
Group variable: id                           Number of groups      =
145
Time variable: year
Obs per group:    min =         1
avg =  5.393103
max =         7

Number of instruments =     55               Wald chi2(16)         =
99.91
Prob > chi2           =    0.0000
One-step results

price_MD       Coef.   Std. Err.      z    P>z     [95% Conf. Interval]

price_MD
L1.   (omitted)
L3.   -.0121949    .048065    -0.25   0.800    -.1064005    .0820108

q_prodRmol    .1543779   .9208145     0.17   0.867    -1.650385
1.959141
q_prodRsc     2.65061   .9287353     2.85   0.004     .8303226
4.470898
q_molRsc   -.0103965    .019338    -0.54   0.591    -.0482983
.0275052
pMD_ml_mol   -.0360574   .0814341    -0.44   0.658    -.1956653
.1235504
pMD_ml_sc   -2.819242   .5904056    -4.78   0.000    -3.976416
-1.662069
generic   (omitted)
original   (omitted)
d_lag2_mol    .0000449   .0000803     0.56   0.576    -.0001125
.0002022
lag_m2_1st~c   -.0016885   .0100444    -0.17   0.867    -.0213752
.0179983
lag_prod_sc   (omitted)
scC9A   (omitted)
scC9B   (omitted)
scC9C   (omitted)
n_prod_sc   -.0161805   .0027873    -5.81   0.000    -.0216435
-.0107175
n_mol_sc   (omitted)
n_gen_m   -.0242394   .0044741    -5.42   0.000    -.0330086   -.0154702

n_prod_sc
L1.   (omitted)

n_gen_m
L1.   (omitted)

y2002   -.0004425   .0026536    -0.17   0.868    -.0056435    .0047584
y2003   -.0009949   .0029563    -0.34   0.736    -.0067892    .0047994
y2004   -.0015539   .0034754    -0.45   0.655    -.0083655    .0052577
y2005   -.0017415   .0041341    -0.42   0.674    -.0098443    .0063612
y2006    -.002513   .0049055    -0.51   0.608    -.0121277    .0071016
y2007   -.0031758   .0057105    -0.56   0.578    -.0143682    .0080166
y2008   (omitted)

Instruments for differenced equation
GMM-type: L(2/4).price_MD L(1/2).q_prodRmol L(1/2).q_prodRsc
L(1/2).q_molRsc L(1/2).pMD_ml_mol L(1/2).pMD_ml_sc L(1/2).pMD_ml_c
Standard: D.d_lag2_mol D.lag_m2_1st_sc D.n_prod_sc D.n_gen_m D.y2001
D.y2002 D.y2003 D.y2004 D.y2005 D.y2006 D.y2007

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