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Re: st: RE: Cannot calculate AR and Sargan tests (returning .)
From
Rodrigo Refoios Camejo <[email protected]>
To
[email protected]
Subject
Re: st: RE: Cannot calculate AR and Sargan tests (returning .)
Date
Wed, 2 Jun 2010 10:13:42 +0100
Thanks, Nick... I have tried leaving out the dropped variables, but
don't know how to restrict to deeper lags of the dep var, i.e. if
L1.depvar is automatically dropped how can I command to leave it out
of the specification?
On 6/1/10, Nick Cox <[email protected]> wrote:
> Not my territory, but I would try the command again but this time
> omitting the variables flagged as dropped.
>
> Nick
> [email protected]
>
> Rodrigo Refoios Camejo
>
> I'm having a problem to get both the AR and the Sargan tests when
> using xtabond and xtdpdsys (please see below for specification used).
> Basically it's coming back saying that they cannot be calculated with
> dropped variables:
>
> . estat sargan
> Sargan test of overidentifying restrictions
> H0: overidentifying restrictions are valid
> cannot calculate Sargan test with dropped variables
>
> chi2(39) = .
> Prob > chi2 = .
>
> . estat abond
> cannot calculate AR tests with dropped variables
>
> Arellano-Bond test for zero autocorrelation in first-differenced errors
> cannot calculate test with dropped variables
> +-----------------------+
> |Order | z Prob > z|
> |------+----------------|
> | 1 | . . |
> | 2 | . . |
> +-----------------------+
> H0: no autocorrelation
>
> What does this mean and how can I overcome this? I'm trying to
> everything by the book but I'm certainly missing something...
>
> Many thanks in advance for your help!
> R
>
>
> . xtabond price_MD generic original d_lag2_mol lag_m2_1st_sc
> lag_m2_1st_sc lag_prod_sc scC3A scC8A scC9A scC9B scC9C scC9D scC9X
> n_prod_sc n_mol_sc n_gen_m L1.n_prod_sc L1.n_mol_sc L1.n_gen_m y19
> > 98 y1999 y2000 y2001 y2002 y2003 y2004 y2005 y2006 y2007 y2008 if
> pack_size==., noconstant lags(3) maxldep(3) maxlags(2) pre(q_prodRmol
> q_prodRsc q_molRsc pMD_ml_mol pMD_ml_sc pMD_ml_c) artests(2
> > )
> note: generic dropped from div() because of collinearity
> note: original dropped from div() because of collinearity
> note: lag_m2_1st_sc dropped from div() because of collinearity
> note: lag_prod_sc dropped from div() because of collinearity
> note: scC3A dropped from div() because of collinearity
> note: scC8A dropped from div() because of collinearity
> note: scC9A dropped from div() because of collinearity
> note: scC9B dropped from div() because of collinearity
> note: scC9C dropped from div() because of collinearity
> note: scC9D dropped from div() because of collinearity
> note: scC9X dropped from div() because of collinearity
> note: n_mol_sc dropped from div() because of collinearity
> note: L.n_prod_sc dropped from div() because of collinearity
> note: L.n_mol_sc dropped from div() because of collinearity
> note: L.n_gen_m dropped from div() because of collinearity
> note: y1998 dropped from div() because of collinearity
> note: y1999 dropped from div() because of collinearity
> note: y2000 dropped from div() because of collinearity
> note: y2008 dropped from div() because of collinearity
> note: L2.price_MD dropped because of collinearity
> note: pMD_ml_c dropped because of collinearity
> note: lag_m2_1st_sc dropped because of collinearity
> note: scC3A dropped because of collinearity
> note: scC8A dropped because of collinearity
> note: scC9D dropped because of collinearity
> note: scC9X dropped because of collinearity
> note: L.n_mol_sc dropped because of collinearity
> note: y1998 dropped because of collinearity
> note: y1999 dropped because of collinearity
> note: y2000 dropped because of collinearity
> note: y2001 dropped because of collinearity
>
> Arellano-Bond dynamic panel-data estimation Number of obs =
> 782
> Group variable: id Number of groups =
> 145
> Time variable: year
> Obs per group: min = 1
> avg = 5.393103
> max = 7
>
> Number of instruments = 55 Wald chi2(16) =
> 99.91
> Prob > chi2 = 0.0000
> One-step results
>
> price_MD Coef. Std. Err. z P>z [95% Conf. Interval]
>
> price_MD
> L1. (omitted)
> L3. -.0121949 .048065 -0.25 0.800 -.1064005 .0820108
>
> q_prodRmol .1543779 .9208145 0.17 0.867 -1.650385
> 1.959141
> q_prodRsc 2.65061 .9287353 2.85 0.004 .8303226
> 4.470898
> q_molRsc -.0103965 .019338 -0.54 0.591 -.0482983
> .0275052
> pMD_ml_mol -.0360574 .0814341 -0.44 0.658 -.1956653
> .1235504
> pMD_ml_sc -2.819242 .5904056 -4.78 0.000 -3.976416
> -1.662069
> generic (omitted)
> original (omitted)
> d_lag2_mol .0000449 .0000803 0.56 0.576 -.0001125
> .0002022
> lag_m2_1st~c -.0016885 .0100444 -0.17 0.867 -.0213752
> .0179983
> lag_prod_sc (omitted)
> scC9A (omitted)
> scC9B (omitted)
> scC9C (omitted)
> n_prod_sc -.0161805 .0027873 -5.81 0.000 -.0216435
> -.0107175
> n_mol_sc (omitted)
> n_gen_m -.0242394 .0044741 -5.42 0.000 -.0330086 -.0154702
>
> n_prod_sc
> L1. (omitted)
>
> n_gen_m
> L1. (omitted)
>
> y2002 -.0004425 .0026536 -0.17 0.868 -.0056435 .0047584
> y2003 -.0009949 .0029563 -0.34 0.736 -.0067892 .0047994
> y2004 -.0015539 .0034754 -0.45 0.655 -.0083655 .0052577
> y2005 -.0017415 .0041341 -0.42 0.674 -.0098443 .0063612
> y2006 -.002513 .0049055 -0.51 0.608 -.0121277 .0071016
> y2007 -.0031758 .0057105 -0.56 0.578 -.0143682 .0080166
> y2008 (omitted)
>
> Instruments for differenced equation
> GMM-type: L(2/4).price_MD L(1/2).q_prodRmol L(1/2).q_prodRsc
> L(1/2).q_molRsc L(1/2).pMD_ml_mol L(1/2).pMD_ml_sc L(1/2).pMD_ml_c
> Standard: D.d_lag2_mol D.lag_m2_1st_sc D.n_prod_sc D.n_gen_m D.y2001
> D.y2002 D.y2003 D.y2004 D.y2005 D.y2006 D.y2007
>
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