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


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
>
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