st: XTABOND2 tests of autocorrelation and restrictions (fwd)

[Daniel Wilde <dgw24@bath.ac.uk>]

Hi, All

I originally posted this email a few days ago, but as I didn't get any 
replies I thought I would try again. I have also added  two more questions. 
I know the questions may appear simple to some people, but I'd greatly 
appreciate any help.

Using the XTABOND2 command I get significant and expected results. But I do
not understand how to read the output for the autocorrelation test or the
Hansen test. More specifically:

1)	Is the Arellano-Bond test for AR(1) in first differences testing  for
autocorrelation in the full error term Eit or is it testing for
autocorrelation in the Vit component of the error term.

2)	What are the null and alternative hypothesizes in the Arellano Bond
test. Does a P-value of 0.32 indicate that there is or is not
autocorrelation?

3)	If the P ? Value is showing that autocorrelation is occurring in Vit ?
how can this be dealt with in the XTABOND2 command?

4)	What are the null and alternative hypotheses in the Hansen test? Does a
P-value of 0.271 indicate that I have used too many instruments?

5)      Is it acceptable to use a transformation of the dependent variable 
as a lag. E.G if the dependent variable is a log of data75 can we use 
data75 as the instrument.

6)      If I add additional instruments that I have not included in the 
original regression equation, should these be in addition to, or instead 
of, the instruments which are lagged versions of the independent variables? 

Any help would be greatly appreciated.

Thanks

Daniel Wilde


FULL RESULTS ARE:


. xi: xtabond2 lngdata75 l.lngdata75 lngdata36 lngdata38 lngdata99 i.time5,
gmm(l.data75) iv(lngdata36 lngdata38 lngdata99 i.time5) level robust
i.time5           _Itime5_1-10        (naturally coded; _Itime5_1 omitted)
_Itime5_2 dropped because of collinearity.
_Itime5_3 dropped because of collinearity.
_Itime5_4 dropped because of collinearity.
_Itime5_5 dropped because of collinearity.
_Itime5_6 dropped because of collinearity.
_Itime5_7 dropped because of collinearity.
_Itime5_10 dropped because of collinearity.
Building GMM instruments..
7 instrument(s) dropped because of collinearity.
Estimating.
Performing specification tests.

Dynamic panel-data estimation, one-step system GMM
---------------------------------------------------------------------------
---
Group variable: unit_id                         Number of obs      =
182
Time variable : time5                           Number of groups   =
103
Number of instruments = 26                      Obs per group: min =
1
Wald chi2(5)  =   9856.70                                      avg =
1.77
Prob > chi2   =     0.000                                      max =
3
---------------------------------------------------------------------------
---
             |               Robust
lngdata75    |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+-------------------------------------------------------------
---
lngdata75    |
          L1 |   .7644667   .0506732    15.09   0.000     .6651489
.8637844
lngdata36    |  -.2266392   .0425735    -5.32   0.000    -.3100817
-.1431967
lngdata38    |   .1954291   .0653342     2.99   0.003     .0673764
.3234818
lngdata99    |  -.2925302   .1153542    -2.54   0.011    -.5186202
-.0664401
_Itime5_8    |   .0324644   .0234058     1.39   0.165      -.01341
.0783389
_Itime5_9    |  -.0185157   .0244261    -0.76   0.448      -.06639
.0293586
_cons        |    3.23673   .8508868     3.80   0.000     1.569023
4.904438
---------------------------------------------------------------------------
---
Instruments for first differences equation
  Standard
    lngdata36 lngdata38 lngdata99 _Itime5_2 _Itime5_3 _Itime5_4 _Itime5_5
    _Itime5_6 _Itime5_7 _Itime5_8 _Itime5_9 _Itime5_10
  GMM-type (separate instruments for each period)
    L(1/.).L.data75
Instruments for levels equation
  Standard
    _cons
    lngdata36 lngdata38 lngdata99 _Itime5_2 _Itime5_3 _Itime5_4 _Itime5_5
    _Itime5_6 _Itime5_7 _Itime5_8 _Itime5_9 _Itime5_10
  GMM-type (separate instruments for each period)
    D.L.data75
  (Instrument count reported above excludes 7 of these as collinear.)
---------------------------------------------------------------------------
---
Arellano-Bond test for AR(1) in first differences: z =  -0.99  Pr > z =
0.321
Arellano-Bond test for AR(2) in first differences: z =      .  Pr > z =
.
---------------------------------------------------------------------------
---
Sargan test of overid. restrictions: chi2(19)   = 114.77  Prob > chi2 =
0.000
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(19)   =  22.26  Prob > chi2 =
0.271
  (Robust, but can be weakened by many instruments.)

.



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