Dear all
I understand that xtabond in GMM model reports the coefficients of the first
differenced model in Stata9 and reports coefficients of the level model in
Stata10. However, I am not sure why Stata9 and Stata10 produce different
Sargan test results. For example,
In stata 9
. xtabond y dummy01-dummy06, pre(x1, lag(0,.)) pre(x2, lag(0,.)) pre(x3,
lag(0,.)) pre(x4, lag(0,.)) noconstant
Arellano-Bond dynamic panel-data estimation Number of obs = 157
Group variable (i): country Number of groups = 23
Wald chi2(.) = .
Time variable (t): year Obs per group: min = 6
avg = 6.826087
max = 7
One-step results
D.y Coef. Std. Err. z P>z [95% Conf. Interval]
y
LD. .4557214 .0657212 6.93 0.000 .3269103 .5845325
x1
D1. 27.0095 15.70867 1.72 0.086 -3.778926 57.79792
x2
D1. 1.282466 .5059736 2.53 0.011 .2907759 2.274156
x3
D1. -.4017822 .3392372 -1.18 0.236 -1.066675 .2631106
x4
D1. -.0032462 .4207785 -0.01 0.994 -.8279568 .8214645
dummy01
D1. -5.386602 1.854018 -2.91 0.004 -9.020411 -1.752793
dummy02
D1. -3.725648 1.957494 -1.90 0.057 -7.562265 .1109692
dummy03
D1. -4.19972 2.157489 -1.95 0.052 -8.428322 .0288815
dummy04
D1. -8.418777 2.30855 -3.65 0.000 -12.94345 -3.894103
dummy05
D1. -6.44409 2.577985 -2.50 0.012 -11.49685 -1.391331
dummy06
D1. -7.722238 2.969409 -2.60 0.009 -13.54217 -1.902302
Sargan test of over-identifying restrictions:
chi2(163) = 171.09 Prob > chi2 = 0.3164
Arellano-Bond test that average autocovariance in residuals of order 1 is 0:
H0: no autocorrelation z = -3.99 Pr > z = 0.0001
Arellano-Bond test that average autocovariance in residuals of order 2 is 0:
H0: no autocorrelation z = -1.12 Pr > z = 0.2628
In stata 10
. xtabond y dummy01-dummy06, pre(x1, lag(0,.)) pre(x2, lag(0,.))
pre(x3,lag(0,.)) pre(x4, lag(0,.)) noconstant
Arellano-Bond dynamic panel-data estimation
Number of obs = 157
Group variable: country
Number of groups = 23
Time variable: year Obs per group: min = 6
avg = 6.826087
max = 7
Number of instruments = 127 Wald chi2(11) = 104.34
Prob > chi2 = 0.0000
One-step results
y Coef. Std. Err. z P>z [95% Conf. Interval]
y
L1. .4557214 .0657212 6.93 0.000 .3269103 .5845325
x1 27.0095 15.70867 1.72 0.086 -3.778925 57.79792
x2 1.282466 .5059736 2.53 0.011 .290776 2.274156
x3 -.4017822 .3392372 -1.18 0.236 -1.066675 .2631106
x4 -.0032462 .4207785 -0.01 0.994 -.8279568 .8214645
dummy01 -5.386602 1.854018 -2.91 0.004 -9.020411 -1.752794
dummy02 -3.725647 1.957494 -1.90 0.057 -7.562264 .1109696
dummy03 -4.19972 2.157489 -1.95 0.052 -8.428322 .0288813
dummy04 -8.418778 2.30855 -3.65 0.000 -12.94345 -3.894103
dummy05 -6.444089 2.577985 -2.50 0.012 -11.49685 -1.391331
dummy06 -7.722238 2.969409 -2.60 0.009 -13.54217 -1.902302
Instruments for differenced equation
GMM-type: L(2/.).y L(1/.).x1 L(1/.).x2 L(1/.).x3 L(1/.).x4
Standard: D.dummy01 D.dummy02 D.dummy03 D.dummy04 D.dummy05 D.dummy06
. estat sargan
Sargan test of overidentifying restrictions
H0: overidentifying restrictions are valid
chi2(116) = 171.0927
Prob > chi2 = 0.0007
The coefficients in stata9 and stata10 are the same. My question is why Sargan
test results are different. In Stata9, chi2(163) =171.09 with p value 0.3164
and in Stata10, chi2(116) =171.0927 with p value 0.0007? Which Sargan test
result should I follow, Stata9 model or Stata10 model?
Thank you very much for your help.
Best Wishes,
Linda
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