Dear Listservers,
I am running xtabond2 option.
I get that Sargan test of overid. restrictions:
chi2(188) = 250.54 Prob > chi2 = 0.002
Hansen test of overid. restrictions:
chi2(188) = 175.52 Prob > chi2 = 0.734
Does this mean that I should reduce the number of instruments?
Additionally, I have AR(2) in first differences and thus am using
gmm(l.Z, lag(3 .)) to specify the instruments to be used.
Could you please clarify whether the Hansen/Sargan tests are valid under
this specification?
Thank you in advance,
Olga
Here is the syntax of the command I ran and the output:
***
xtabond2 df age age2 ed12 nwe12 perd2 perd3 perd4 lnrtb3 dna dnk dms
dhrsw dhrsh dyu2, gmm(L.(lnrtb3 dms dna dnk dfu dyu2 dhrsh dhrsw),
lag(3) collapse) iv(age age2 edCol edColp ednoHS) twostep robust
noconstant small orthogonal art(3)
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/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: pid Number of obs = 31428
Time variable : year Number of groups = 6715
Number of instruments = 202 Obs per group: min = 1
F(14, 6715) = 12.30 avg = 4.68
Prob > F = 0.000 max = 23
------------------------------------------------------------------------------
| Corrected
df | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
age | .0101859 .0072103 1.41 0.158 -.0039485 .0243203
age2 | -.0001286 .0000823 -1.56 0.118 -.0002899 .0000327
ed12 | -.0650101 .0351083 -1.85 0.064 -.1338335 .0038133
nwe12 | .1055316 .0653455 1.61 0.106 -.0225664 .2336296
perd2 | -.0762958 .1382154 -0.55 0.581 -.3472419 .1946503
perd3 | .0147213 .1381243 0.11 0.915 -.2560462 .2854888
perd4 | -.1659716 .155361 -1.07 0.285 -.4705284 .1385852
lnrtb3 | .8725896 .3702258 2.36 0.018 .1468295 1.59835
dna | -.0122323 .0858887 -0.14 0.887 -.1806013 .1561368
dnk | .0865718 .0948575 0.91 0.361 -.099379 .2725226
dms | -.0699546 .0793642 -0.88 0.378 -.2255337 .0856244
dhrsw | .0391827 .0248344 1.58 0.115 -.0095006 .087866
dhrsh | .0287372 .0310284 0.93 0.354 -.0320883 .0895626
dyu2 | -.2672077 .1173428 -2.28 0.023 -.4972369 -.0371786
------------------------------------------------------------------------------
Instruments for orthogonal deviations equation
Standard
FOD.(age age2 edCol edColp ednoHS)
GMM-type (missing=0, separate instruments for each period unless
collapsed)
L(3/.).(L.lnrtb3 L.dms L.dna L.dnk L.dfu L.dyu2 L.dhrsh L.dhrsw)
collapsed
Instruments for levels equation
Standard
age age2 edCol edColp ednoHS
GMM-type (missing=0, separate instruments for each period unless
collapsed)
DL2.(L.lnrtb3 L.dms L.dna L.dnk L.dfu L.dyu2 L.dhrsh L.dhrsw) collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences:
z = -25.63 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences:
z = 8.11 Pr > z = 0.000
Arellano-Bond test for AR(3) in first differences:
z = 0.10 Pr > z = 0.919
------------------------------------------------------------------------------
Sargan test of overid. restrictions:
chi2(188) = 250.54 Prob > chi2 = 0.002
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions:
chi2(188) = 175.52 Prob > chi2 = 0.734
(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(180) = 169.29 Prob > chi2 = 0.706
Difference (null H = exogenous):
chi2(8) = 6.23 Prob > chi2 = 0.622
iv(age age2 edCol edColp ednoHS)
Hansen test excluding group:
chi2(183) = 164.35 Prob > chi2 = 0.835
Difference (null H = exogenous):
chi2(5) = 11.17 Prob > chi2 = 0.048
--
The University of Edinburgh is a charitable body, registered in
Scotland, with registration number SC005336.
begin:vcard
fn:Olga Gorbachev
n:Gorbachev;Olga
org:University of Edinburgh;Economics
adr:;;31 Buccleuch Place, 3.06;Edinburgh;;EH8 9JT;UK
email;internet:[email protected]
tel;work:44 (0) 131 651 3853
url:http://homepages.ed.ac.uk/ogorbach/
version:2.1
end:vcard
