Hello
I ran Xtabond2 and got the following results.
But I don't know how to interprete the AR(1) and (2)
test, Sargan test and Hansen test. whenever I change
the options regarding instruments, I find the
estimates changes. So, choosing right options for IV's
seem to important and AR test, Sargan and Hansen test
can be the criteria.
I appreciate your cooperation.
Caleb
. xtabond2 dik l1_dik dsk l1_xinter4 l1_minter4 y9*
y0*, gmm(l1_dik dsk) iv(l1_xinter4 l1_minter4 y9* y0*)
nolevel robust twostep
Favoring speed over space. To switch, type or click on
mata: mata set matafavor space, perm.
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 difference GMM
------------------------------------------------------------------------------
Group variable: gvkey Number
of obs = 2613
Time variable : year Number
of groups = 857
Number of instruments = 191 Obs
per group: min = 0
Wald chi2(13) = 116.58
avg = 3.05
Prob > chi2 = 0.000
max = 9
------------------------------------------------------------------------------
| Corrected
dik | Coef. Std. Err. z P>|z|
[95% Conf. Interval]
-------------+----------------------------------------------------------------
l1_dik | -.0631103 .0269788 -2.34 0.019
-.1159878 -.0102328
dsk | .0303016 .0041106 7.37 0.000
.0222449 .0383583
l1_xinter4 | -.7393577 1.080205 -0.68 0.494
-2.856521 1.377806
l1_minter4 | 5.757623 2.980406 1.93 0.053
-.0838644 11.59911
y98 | -.1021025 .0621024 -1.64 0.100
-.2238209 .019616
y99 | -.0975885 .0525929 -1.86 0.064
-.2006688 .0054917
y00 | -.0549833 .0457704 -1.20 0.230
-.1446917 .0347251
y01 | -.083309 .0576667 -1.44 0.149
-.1963336 .0297157
y02 | -.0767291 .0471157 -1.63 0.103
-.1690742 .015616
y03 | -.050342 .0413093 -1.22 0.223
-.1313067 .0306227
y04 | .0192985 .041835 0.46 0.645
-.0626966 .1012935
y05 | .0134064 .0383587 0.35 0.727
-.0617754 .0885881
y06 | -.0155416 .0439685 -0.35 0.724
-.1017184 .0706351
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(l1_xinter4 l1_minter4 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)
L(1/.).(l1_dik dsk)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =
-5.13 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z =
-0.47 Pr > z = 0.640
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(178) =
332.61 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(178) =
167.81 Prob > chi2 = 0.697
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument
subsets:
iv(l1_xinter4 l1_minter4 y93 y94 y95 y96 y97 y98 y99
y00 y01 y02 y03 y04 y05 y06 y07)
Hansen test excluding group: chi2(167) =
159.53 Prob > chi2 = 0.647
Difference (null H = exogenous): chi2(11) =
8.27 Prob > chi2 = 0.689
*
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