dear statalist users,
I run the xtabond2 specifiyng nolevel on a growth regression. Here are the results,
xtabond2 gdppc_gr l.(ln_gdp_pc educ socialexp) if year >= 1996 & eu15==1, gmm(l.(ln_gdp_pc educ socialexp)) iv(year19
> 96- year2007) nolevel robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Number of instruments may be large relative to number of observations.
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 statistics may be negative.
Dynamic panel-data estimation, one-step difference GMM
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Group variable: countryn Number of obs = 164
Time variable : year Number of groups = 15
Number of instruments = 164 Obs per group: min = 10
Wald chi2(3) = 107.15 avg = 10.93
Prob > chi2 = 0.000 max = 11
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| Robust
gdppc_gr | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ln_gdp_pc |
L1. | -12.03326 1.821334 -6.61 0.000 -15.60301 -8.463515
educ |
L1. | .154065 .0442216 3.48 0.000 .0673923 .2407378
socialexp |
L1. | -.0969494 .1132011 -0.86 0.392 -.3188194 .1249207
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Instruments for first differences equation
Standard
D.(year1996 year1997 year1998 year1999 year2000 year2001 year2002 year2003
year2004 year2005 year2006 year2007)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/.).(L.ln_gdp_pc L.educ L.socialexp)
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Arellano-Bond test for AR(1) in first differences: z = -2.35 Pr > z = 0.019
Arellano-Bond test for AR(2) in first differences: z = 1.08 Pr > z = 0.279
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Sargan test of overid. restrictions: chi2(161) = 296.49 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(161) = 14.17 Prob > chi2 = 1.000
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(year1996 year1997 year1998 year1999 year2000 year2001 year2002 year2003 year2004 year2005 year2006 year2007)
Hansen test excluding group: chi2(159) = 14.17 Prob > chi2 = 1.000
Difference (null H = exogenous): chi2(2) = 0.00 Prob > chi2 = 1.000
What can I conclude from Abond test, Sargan and Hansen tests?I am a bit confused!!
thanks
Cristina
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