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From |
Rodrigo Refoios Camejo <refoioscamejo@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Wed, 2 Jun 2010 10:13:42 +0100 |

Thanks, Nick... I have tried leaving out the dropped variables, but don't know how to restrict to deeper lags of the dep var, i.e. if L1.depvar is automatically dropped how can I command to leave it out of the specification? On 6/1/10, Nick Cox <n.j.cox@durham.ac.uk> wrote: > 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 > > * > * 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/ > * * 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/

**Follow-Ups**:**RE: st: RE: Cannot calculate AR and Sargan tests (returning .)***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**References**:**st: RE: Cannot calculate AR and Sargan tests (returning .)***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

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