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Antwort: st: difficulty in explaining GMM sargan overid


From   Johannes Geyer <JGeyer@diw.de>
To   statalist@hsphsun2.harvard.edu
Subject   Antwort: st: difficulty in explaining GMM sargan overid
Date   Thu, 24 Jun 2010 11:25:33 +0200

Dear Binta,

I don't know what it means if your chi() is "too large". I would interpret 
the test results as you did. 
Note that these models were developed for large N and small T. 

A good starting point to learn these dynamic GMM models for applied 
research is 

http://www.cemmap.ac.uk/wps/cwp0209.pdf 

and David Roodman, the auther of the Stata-ado command -xtabond2- wrote a 
very good introduction too:

http://ideas.repec.org/p/boc/asug06/8.html

If you cite other studies, you should provide the full reference. Here is 
a quote from the Statalist FAQs

http://www.stata.com/support/faqs/res/statalist.html

Precise literature references please! Please do not assume that the 
literature familiar to you is familiar to all members of Statalist. Do not 
refer to publications with just minimal details (e.g., author and date). 
Questions of the form ?Has anyone implemented the heteroscedasticity under 
a full moon test of Sue, Grabbit, and Runne (1989)?? admittedly divide the 
world. Anyone who has not heard of the said test would not be helped by 
the full reference to answer the question, but they might well appreciate 
the full reference. 

Hope this helps,

Johannes


owner-statalist@hsphsun2.harvard.edu schrieb am 23/06/2010 19:42:55:

> Dear All,
> 
> I am kind of new to the GMM procedure and like a newbie, I am having
> difficulties understanding the main intution behind it. My main 
> purpose of using GMM is to enable me deal with endogeneity problem 
> which may arise in the analysis I intend to carry out. In my 
> research, I want to examine the impact of financial liberalisation 
> on financial development in emerging countries.
> 
> My sample consists of 11 countries over 28 years which gives a total
> of 308 obs. However, reading through some of the archives, I noticed
> that my chi2(344) might be too big and probably create a problem. I 
> might be wrong but like earlier stated, I am a novice in this.
> 
> My depvar is FD for both bank and stock marketindvar includes 
> lnpcap, bhldate, trade, infl, fdi and institutions. To test the RZ 
> hypothesis I have included the interactions between FO and TO. My 
> model is similar to that of Baltagi et al (2007) and Ito (2006). 
> From what I understand, you would have to include the lag dependent 
> variable and lag of the indvar as instruments in the GMM estimation,
> correct me if Im wrong.
> My main problem now is, using the xtabond command in stata 9, I 
> obtained the following:
> 
> Arellano-Bond dynamic panel-data estimation     Number of obs      =
> 209Group variable (i): cty                         Number of groups   =  
11
> Wald chi2(7)       =   1008.11
> Time variable (t): year                         Obs per group: min =
> 11avg =   19max =   23
> One-step results
>    D.m3wdi       Coef.   Std. Err.      z    P>z     [95% Conf. 
> Interval]   m3wdi LD.    .8884923    .047715    18.62   0.000     .
> 7949727   .9820119bhldate D1.    1.453598   1.312559     1.11   0.
> 268    -1.118971   4.026166lnpcapwdi D1.    2.620653   3.494215     
> 0.75   0.453    -4.227882   9.469188trade D1.    .0624551   .0328946
>     1.90   0.058    -.0020171   .1269274inf D1.   -.0914649   .
> 0278294    -3.29   0.001    -.1460095   -.0369202fdi D1.    .2869984
>   .2403093     1.19   0.232    -.1839991   .757996icrgqog D1.   -9.
> 449567   4.480311    -2.11   0.035    -18.23082   -.6683196_cons   
>  -.101707   .1329192    -0.77   0.444    -.3622238   .1588098 
> 
> Sargan test of over-identifying restrictions:     chi2(344) =   193.
> 65     Prob > chi2 = 1.0000
> 
> Arellano-Bond test that average autocovariance in residuals of order
> 1 is 0:H0: no autocorrelation   z =  -7.08   Pr > z = 0.0000
> 
> Arellano-Bond test that average autocovariance in residuals of order
> 2 is 0:H0: no autocorrelation   z =   0.56   Pr > z = 0.577538 .1588098  

> 
> From my understanding of the sargan test, the chi2(344) = 1.0000 
> should mean that I cannot reject the overidentifying restrictions. 
> However, like I stated earlier, according to the archives, my 
> chi2(344) might be too large, but I dont think I understand this 
> reason, I am confused or maybe confusing myself
> I indeed will appreciate any help to clarify this.
> 
> Thanks
> Binta
> 
> 
> 
> 
> 
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