Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: RE: xtabond2 estimation and observations used
From
Webber Geelang <[email protected]>
To
[email protected]
Subject
Re: st: RE: xtabond2 estimation and observations used
Date
Sun, 18 Aug 2013 22:56:46 +0800
Billy,
You are right about the dummy variable trap. Just to clarify, I did
that intentionally (on Eric's suggestion) so that we can see where the
problem is. If you see my initial post, I only entered 3 time period
dummies in the actual model (given that I have 4 periods of
observations).
Here are the input and output (with only 3 dummies added).
. xtabond2 y L.y x1 x2 t1 t2 t3 , gmmstyle(L.y x1 x2 ) ivstyle( t1 t2
t3) nol r cluster(area)
Favoring speed over space. To switch, type or click on mata: mata set
matafavor space, perm.
d1 dropped due to collinearity
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for
Hansen test.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 240
Time variable : time_raw Number of groups = 120
Number of instruments = 15 Obs per group: min = 2
Wald chi2(5) = 3.20 avg = 2.00
Prob > chi2 = 0.670 max = 2
(Std. Err. adjusted for 79 clusters in area)
------------------------------------------------------------------------------
| Robust
y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y |
L1. | .2578224 .3891366 0.66 0.508 -.5048712 1.020516
|
x1 | -.3492082 .2546561 -1.37 0.170 -.8483251 .1499086
x2 | -.2690871 .5637074 -0.48 0.633 -1.373933 .835759
t2 | -.0181066 .0440601 -0.41 0.681 -.1044627 .0682496
t3 | -.002187 .0187615 -0.12 0.907 -.0389588 .0345848
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(t1 t2 t3)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/3).(L.y x1 x2)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -1.02 Pr > z = 0.307
Arellano-Bond test for AR(2) in first differences: z = . Pr > z = .
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(10) = 6.65 Prob > chi2 = 0.758
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(10) = 8.44 Prob > chi2 = 0.586
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(t1 t2 t3)
Hansen test excluding group: chi2(8) = 6.16 Prob > chi2 = 0.629
Difference (null H = exogenous): chi2(2) = 2.28 Prob > chi2 = 0.320
Webber
On Sun, Aug 18, 2013 at 10:40 PM, William Buchanan
<[email protected]> wrote:
> If you're including four indicators for time with four time periods, why would you not expect them to be collinear? This is typically described in texts as the "dummy variable trap." Also, what you claim to be doing is inconsistent across your queries. You should follow the guidance in the Statalist FAQ and show _EXACTLY_ what you provided for input and _EXACTLY_ what Stata gave you as output.
>
> Billy
>
>
>
> On Aug 18, 2013, at 9:30 AM, webgeeky <[email protected]> wrote:
>
>> I created four time dummies (e.g. t1 = 1 if the observation is for
>> period 1), and entered t* in the xtabond2 model. I've also included a
>> lagged dependent variable (LDV) in the model. The message is:
>>
>> t1 dropped due to collinearity
>> t4 dropped due to collinearity
>>
>> I noticed that t1 and t4 are also dropped when I use xtreg with a LDV.
>> However, when the LDV is excluded, only t4 is dropped.
>>
>> So I guess the LDV is the cause of the "problem" here. A question is,
>> why are the extremes time periods dropped with LDV included? It is
>> more intuitive if t1 and t2 are dropped.
>>
>> Webber Geelang
>>
>> On Sun, Aug 18, 2013 at 8:56 PM, DE SOUZA Eric
>> <[email protected]> wrote:
>>> Since we do not know how you have created your time dummies, nor what instruction you entered, it is difficult to answer.
>>>
>>> Create four time dummies, t1 to t4, and enter them into your command as t*. Then see what happens and report, if necessary.
>>>
>>>
>>> Eric de Souza
>>> College of Europe
>>> Brugge (Bruges), Belgium
>>> http://www.coleurope.eu
>>>
>>>
>>>
>>> -----Original Message-----
>>> From: [email protected] [mailto:[email protected]] On Behalf Of webgeeky
>>> Sent: 17 August 2013 16:34
>>> To: [email protected]
>>> Subject: st: xtabond2 estimation and observations used
>>>
>>> I've a question regarding the mechanism of xtabond2. I've read Roodman
>>> (2009) in Stata Journal, but there are some aspects that I couldn't figure out.
>>>
>>> I have a balanced dataset that involves 4 time periods. I estimated a one-step difference GMM using xtabond2 with a lagged dependent variable (one-period lag) and the "nolevel" option. I included 3 time period dummies (t1, t2, t3) in the model.
>>>
>>> The output from the estimation shows that the number of observations per group (min/avg/max) is 2. The total number of observations is half that of my sample size. These figures are consistent with what the one-step difference GMM, where observations in the first two periods are dropped.
>>>
>>> What puzzle me is that there is an estimated coefficient for the 2nd time period (t2), while t1 is dropped from the model. I would like to know why t2 is being estimated even though the observations used in the estimation should be those in t3 and t4?
>>>
>>> Thanks!
>>> *
>>> * For searches and help try:
>>> * http://www.stata.com/help.cgi?search
>>> * http://www.stata.com/support/faqs/resources/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/faqs/resources/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/faqs/resources/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/faqs/resources/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/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/