the -help- for xtabond2 is quiet comprehensive
these papers might be helpful:
http://ideas.repec.org/p/cgd/wpaper/103.html
www.nuff.ox.ac.uk/users/bond/cwp0209.pdf
Regards,
Johannes
----------------------
Johannes Geyer
Deutsches Institut f�r Wirtschaftsforschung (DIW Berlin)
German Institute for Economic Research
Department of Public Economics
DIW Berlin
Mohrenstra�e 58
10117 Berlin
Tel: +49-30-89789-258
[email protected] schrieb am 23/09/2008 06:18:15:
> Dear stata users
>
> I'm a just beginner for xtabond2, so I don't know how to interpret
> the result below especially regarding
>
> Arellano-Bond autocorrelation test, Sargan test and Hansen test.
>
> I'm not sure but my guess is that it says that there is both AR(1)
> and AR(2), may be some IVs are correlated with error term. If my
> guess is right, then what should I do?
>
> Please see my log below and help!!
>
>
>
> . xtabond2 dlcapx l1_dlcapx dls l1_xinter4 l1_minter4 y9* y0*,
> gmm(l1_dlcapx dls) iv(l1_xinter4 l1_minter4 y9* y0*, equation(level))
orth
> > ogonal robust twostep
> Favoring speed over space. To switch, type or click on mata: mata
> set matafavor space, perm.
> y90 dropped due to collinearity
> y91 dropped due to collinearity
> y92 dropped due to collinearity
> y93 dropped due to collinearity
> y94 dropped due to collinearity
> y95 dropped due to collinearity
> y96 dropped due to collinearity
> y97 dropped due to collinearity
> y07 dropped due to collinearity
> Warning: Two-step estimated covariance matrix of moments is singular.
> Using a generalized inverse to calculate optimal weighting matrix
> for two-step estimation.
> Difference-in-Sargan statistics may be negative.
> Dynamic panel-data estimation, two-step system GMM
>
------------------------------------------------------------------------------
> Group variable: gvkey Number of obs =
3607
> Time variable : year Number of groups =
874
> Number of instruments = 218 Obs per group: min = 2
> Wald chi2(13) = 211.52 avg =
4.13
> Prob > chi2 = 0.000 max = 10
>
------------------------------------------------------------------------------
> | Corrected
> dlcapx | Coef. Std. Err. z P>|z| [95%
Conf.Interval]
>
-------------+----------------------------------------------------------------
> l1_dlcapx | -.2007464 .0302184 -6.64 0.000 -.2599734
-.1415195
> dls | .6778161 .0993139 6.82 0.000 .4831644
.8724677
> l1_xinter4 | -2.53827 1.47796 -1.72 0.086 -5.43502
.3584791
> l1_minter4 | 17.70894 5.754314 3.08 0.002 6.430696
28.98719
> y98 | -.0185858 .2891494 -0.06 0.949 -.5853082
.5481365
> y99 | -.0792788 .2839134 -0.28 0.780 -.6357388
.4771813
> y00 | -.0249017 .2810219 -0.09 0.929 -.5756945
.5258911
> y01 | -.2103614 .2918474 -0.72 0.471 -.7823718
.361649
> y02 | -.2527464 .2846071 -0.89 0.375 -.8105661
.3050734
> y03 | -.0863709 .2797089 -0.31 0.757 -.6345903
.4618485
> y04 | .2565646 .2892443 0.89 0.375 -.3103438
.8234729
> y05 | .1678996 .2790313 0.60 0.547 -.3789918
.7147909
> y06 | .0993331 .2821207 0.35 0.725 -.4536133
.6522794
> _cons | -.0553731 .277753 -0.20 0.842 -.599759
.4890129
>
------------------------------------------------------------------------------
> Instruments for orthogonal deviations equation
> GMM-type (missing=0, separate instruments for each period unless
collapsed)
> L(1/.).(l1_dlcapx dls)
> Instruments for levels equation
> Standard
> _cons
> l1_xinter4 l1_minter4 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99 y00
y01 y02
> y03 y04 y05 y06 y07
> GMM-type (missing=0, separate instruments for each period unless
collapsed)
> D.(l1_dlcapx dls)
>
------------------------------------------------------------------------------
> Arellano-Bond test for AR(1) in first differences: z = -6.72 Pr > z =
0.000
> Arellano-Bond test for AR(2) in first differences: z = -3.23 Pr > z =
0.001
>
------------------------------------------------------------------------------
> Sargan test of overid. restrictions: chi2(204) = 621.40 Prob > chi2 =
0.000
> (Not robust, but not weakened by many instruments.)
> Hansen test of overid. restrictions: chi2(204) = 238.63 Prob > chi2 =
0.049
> (Robust, but can be weakened by many instruments.)
> Difference-in-Hansen tests of exogeneity of instrument subsets:
> GMM instruments for levels
> Hansen test excluding group: chi2(184) = 216.29 Prob > chi2 =
0.052
> Difference (null H = exogenous): chi2(20) = 22.35 Prob > chi2 =
0.322
> iv(l1_xinter4 l1_minter4 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99
> y00 y01 y02 y03 y04 y05 y06 y07, eq(level))
> Hansen test excluding group: chi2(193) = 227.63 Prob > chi2 =
0.045
> Difference (null H = exogenous): chi2(11) = 11.00 Prob > chi2 =
0.443
>
>
> I really appreciate your cooperation!!
>
> Caleb
>
>
> *
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*
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