Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: discrepancy xtdpd vs xtabond2
From
Daniel Borowczyk Martins <[email protected]>
To
[email protected]
Subject
Re: st: discrepancy xtdpd vs xtabond2
Date
Sat, 18 Sep 2010 21:02:30 +0100
I don't if this helps, but I find a discrepancy between xtdpd and
xtabond2 regarding the choice of instruments.
1. I generate an interaction between w and a dummy "year above 1980".
2. I estimate the model "n w wx" with both commands using the second
lag of w as a gmm-style instrument. The results are exactly the same.
3. I include the interaction in the set of gmm-style instruments. In
theory, the number of instruments should not change. However, while
xtbond2 uses the same instrument set, xtdpd includes one more
instrument. The coefficient estimates differ.
use http://www.stata-press.com/data/r7/abdata.dta
. gen dum = 0
. replace dum=1 if year>1980
(393 real changes made)
. gen wxdum = w*dum
. xtabond2 n w wxdum, gmm(w, l(2 2)) twostep robust nolevel
Favoring speed over space. To switch, type or click on mata: mata set
matafavor space, perm.
Dynamic panel-data estimation, two-step difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 891
Time variable : year Number of groups = 140
Number of instruments = 7 Obs per group: min = 6
Wald chi2(2) = 79.80 avg = 6.36
Prob > chi2 = 0.000 max = 8
------------------------------------------------------------------------------
| Corrected
n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
w | -2.353727 .3606461 -6.53 0.000 -3.060581 -1.646874
wxdum | -.0129464 .0072152 -1.79 0.073 -.0270881 .0011952
------------------------------------------------------------------------------
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L2.w
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -0.14 Pr > z = 0.888
Arellano-Bond test for AR(2) in first differences: z = 1.49 Pr > z = 0.137
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(5) = 7.21 Prob > chi2 = 0.206
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(5) = 8.31 Prob > chi2 = 0.140
(Robust, but can be weakened by many instruments.)
. xtdpd n w wxdum, dgmmiv(w, l(2 2)) twostep vce(robust) nocons
Dynamic panel-data estimation Number of obs = 891
Group variable: id Number of groups = 140
Time variable: year
Obs per group: min = 6
avg = 6.364286
max = 8
Number of instruments = 7 Wald chi2(2) = 79.80
Prob > chi2 = 0.0000
Two-step results
------------------------------------------------------------------------------
| WC-Robust
n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
w | -2.353727 .3606461 -6.53 0.000 -3.060581 -1.646874
wxdum | -.0129464 .0072152 -1.79 0.073 -.0270881 .0011952
------------------------------------------------------------------------------
Instruments for differenced equation
GMM-type: L(2/2).w
. xtabond2 n w wxdum, gmm(w wxdum, l(2 2)) twostep robust nolevel
Favoring speed over space. To switch, type or click on mata: mata set
matafavor space, perm.
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 difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 891
Time variable : year Number of groups = 140
Number of instruments = 7 Obs per group: min = 6
Wald chi2(2) = 79.80 avg = 6.36
Prob > chi2 = 0.000 max = 8
------------------------------------------------------------------------------
| Corrected
n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
w | -2.353727 .3606461 -6.53 0.000 -3.060581 -1.646874
wxdum | -.0129464 .0072152 -1.79 0.073 -.0270881 .0011952
------------------------------------------------------------------------------
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L2.(w wxdum)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -0.14 Pr > z = 0.888
Arellano-Bond test for AR(2) in first differences: z = 1.49 Pr > z = 0.137
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(5) = 7.21 Prob > chi2 = 0.206
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(5) = 8.31 Prob > chi2 = 0.140
(Robust, but can be weakened by many instruments.)
. xtdpd n w wxdum, dgmmiv(w wxdum, l(2 2)) twostep vce(robust) nocons
Dynamic panel-data estimation Number of obs = 891
Group variable: id Number of groups = 140
Time variable: year
Obs per group: min = 6
avg = 6.364286
max = 8
Number of instruments = 8 Wald chi2(2) = 80.04
Prob > chi2 = 0.0000
Two-step results
------------------------------------------------------------------------------
| WC-Robust
n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
w | -2.351772 .3582057 -6.57 0.000 -3.053842 -1.649701
wxdum | -.0129616 .0071573 -1.81 0.070 -.0269896 .0010663
------------------------------------------------------------------------------
Instruments for differenced equation
GMM-type: L(2/2).w L(2/2).wxdum
-----------------------------------------------------------------------------------------------------------------------------
On Sat, Sep 18, 2010 at 6:37 PM, David Roodman ([email protected])
<[email protected]> wrote:
> I'm not sure what is causing the discrepancy. I stripped down Daniel's example to something simpler that still generates a discrepancy, and then ran the equivalent in DPD for Ox (Doornik, Arrelano, and Bond 2001). DPD agrees with xtabond2. However, the last time something like that happened (http://www.stata.com/statalist/archive/2010-01/msg00432.html), it turned out that the problem was DPD *and* xtabond2. (I used DPD as my benchmark in writing xtabond2.) Below are the runs from xtdpd, xtabond2, and DPD:
>
> . webuse abadata
> . xtdpd n w, dgmmiv(w k, l(2 2)) nocons
>
> Dynamic panel-data estimation Number of obs = 891
> Group variable: id Number of groups = 140
> Time variable: year
> Obs per group: min = 6
> avg = 6.364286
> max = 8
>
> Number of instruments = 14 Wald chi2(1) = 323.67
> Prob > chi2 = 0.0000
> One-step results
> ------------------------------------------------------------------------------
> n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> w | -2.77159 .154056 -17.99 0.000 -3.073534 -2.469646
> ------------------------------------------------------------------------------
> Instruments for differenced equation
> GMM-type: L(2/2).w L(2/2).k
>
> . xtabond2 n w, gmm(w k, l(2 2)) nolevel
> Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
>
> Dynamic panel-data estimation, one-step difference GMM
> ------------------------------------------------------------------------------
> Group variable: id Number of obs = 891
> Time variable : year Number of groups = 140
> Number of instruments = 14 Obs per group: min = 6
> Wald chi2(1) = 312.84 avg = 6.36
> Prob > chi2 = 0.000 max = 8
> ------------------------------------------------------------------------------
> n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> w | -2.878515 .162745 -17.69 0.000 -3.197489 -2.559541
> ------------------------------------------------------------------------------
> Instruments for first differences equation
> GMM-type (missing=0, separate instruments for each period unless collapsed)
> L2.(w k)
> ------------------------------------------------------------------------------
> Arellano-Bond test for AR(1) in first differences: z = -1.32 Pr > z = 0.186
> Arellano-Bond test for AR(2) in first differences: z = 0.64 Pr > z = 0.524
> ------------------------------------------------------------------------------
> Sargan test of overid. restrictions: chi2(13) = 46.13 Prob > chi2 = 0.000
> (Not robust, but not weakened by many instruments.)
>
>
>
> DPD code:
> #include <oxstd.h>
> #import <packages/dpd/dpd>
>
> main()
> {
> decl dpd = new DPD(), time = timer(), x;
>
> dpd.Load("abdata.in7"); // load data
>
> dpd.SetYear("YEAR"); // specify columns with years
> dpd.SetGroup("IND");
>
> dpd.Select(Y_VAR, {"n", 0, 0}); // formulate model
> dpd.Select(X_VAR, {"w", 0, 0}); // formulate model
> dpd.SetDummies(D_NONE); // specify dummies
> dpd.SetOptions(FALSE, -1, -1, -1); // request classical standard errors
> dpd.Gmm("w", 2, 2); // GMM-type instruments
> dpd.Gmm("k", 2, 2); // GMM-type instruments
>
> dpd.SetTest(1, 2); // specification,Sargan,AR 1-2 tests
>
> dpd.SetMethod(M_1STEP);
> dpd.Estimate();
>
> delete dpd; // finished with object
> }
>
> DPD results:
> DPD package version 1.24, object created on 18-09-2010
>
> DPD( 1) Modelling n by 1-step (using abdata.in7)
>
> ---- 1-step estimation using DPD ----
> Coefficient Std.Error t-value t-prob
> Dw -2.87851 0.1628 -17.7 0.000
>
> sigma 0.2478555 sigma^2 0.06143233
> sigma levels 0.1752603
> RSS 54.674777013 TSS 16.886812344
> no. of observations 891 no. of parameters 1
> Warning: standard errors not robust to heteroscedasticity
>
> Transformation used: first differences
> Level instruments: Gmm("w",2,2) Gmm("k",2,2)
>
> constant: no time dummies: 0
> number of individuals 140 (derived from year)
> longest time series 8 [1977 - 1984]
> shortest time series 6 (unbalanced panel)
>
> Wald (joint): Chi^2(1) = 312.5 [0.000] **
> Sargan test: Chi^2(13) = 46.08 [0.000] **
> AR(1) test: N(0,1) = -1.323 [0.186]
> AR(2) test: N(0,1) = 0.6374 [0.524]
>
>
> -------------------------------------------------
>
> From Daniel Borowczyk Martins <[email protected]>
> To [email protected]
> Subject st: discrepancy xtdpd vs xtabond2
> Date Fri, 17 Sep 2010 09:55:50 +0100
>
> Dear Stata users,
>
> I believe stata's xtdpd and Roodman's xtabond2 produce different
> results when estimating a just-identified model.
>
> Below I present a set of estimations of the same model using
> alternatively xtabond2 and xtdpd and abdata.dta . All estimation
> generate the same coefficient estimates, except for the
> just-identified model (the last three tables below). I can't figure
> out what's going on. Do you have suggestion?
>
> . xtdpd n w k yr*, dgmmiv(w k, l(2 10)) div( yr*) vce(robust) twostep nocons
> note: yr1976 dropped from div() because of collinearity
> note: D.yr1976 dropped because of collinearity
>
> Dynamic panel-data estimation Number of obs = 891
> Group variable: id Number of groups = 140
> Time variable: year
> Obs per group: min = 6
> avg = 6.364286
> max = 8
>
> Number of instruments = 64 Wald chi2(10) = 263.63
> Prob > chi2 = 0.0000
> Two-step results
> ------------------------------------------------------------------------------
> | WC-Robust
> n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> w | -.5251849 .1867368 -2.81 0.005 -.8911822 -.1591875
> k | .6931066 .1156379 5.99 0.000 .4664605 .9197527
> yr1977 | -.0468811 .0224064 -2.09 0.036 -.0907969 -.0029653
> yr1978 | -.079391 .0260936 -3.04 0.002 -.1305336 -.0282485
> yr1979 | -.0908402 .0294539 -3.08 0.002 -.1485689 -.0331115
> yr1980 | -.1082455 .028502 -3.80 0.000 -.1641083 -.0523827
> yr1981 | -.1367655 .0256726 -5.33 0.000 -.1870828 -.0864482
> yr1982 | -.1329874 .0307649 -4.32 0.000 -.1932854 -.0726893
> yr1983 | -.1100415 .0381101 -2.89 0.004 -.184736 -.035347
> yr1984 | -.0741515 .0441612 -1.68 0.093 -.1607057 .0124028
> ------------------------------------------------------------------------------
> Instruments for differenced equation
> GMM-type: L(2/10).w L(2/10).k
> Standard: D.yr1977 D.yr1978 D.yr1979 D.yr1980 D.yr1981
> D.yr1982 D.yr1983 D.yr1984
>
> . drop _est_dpd _est_ab2
>
> . estimates store dpd
>
> . xtabond2 n w k yr*, gmm(w k, l(2 10)) iv(yr*) robust twostep nolevel
> Favoring speed over space. To switch, type or click on mata: mata set
> matafavor space, perm.
> yr1984 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/Hansen statistics may be negative.
>
> Dynamic panel-data estimation, two-step difference GMM
> ------------------------------------------------------------------------------
> Group variable: id Number of obs = 891
> Time variable : year Number of groups = 140
> Number of instruments = 64 Obs per group: min = 6
> Wald chi2(10) = 263.63 avg = 6.36
> Prob > chi2 = 0.000 max = 8
> ------------------------------------------------------------------------------
> | Corrected
> n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> w | -.5251849 .1867368 -2.81 0.005 -.8911822 -.1591875
> k | .6931066 .1156379 5.99 0.000 .4664605 .9197527
> yr1976 | .0741515 .0441612 1.68 0.093 -.0124028 .1607057
> yr1977 | .0272704 .046981 0.58 0.562 -.0648106 .1193514
> yr1978 | -.0052396 .0514405 -0.10 0.919 -.1060611 .095582
> yr1979 | -.0166887 .0541152 -0.31 0.758 -.1227526 .0893751
> yr1980 | -.034094 .0519545 -0.66 0.512 -.135923 .067735
> yr1981 | -.0626141 .03934 -1.59 0.111 -.1397191 .014491
> yr1982 | -.0588359 .0246208 -2.39 0.017 -.1070917 -.0105801
> yr1983 | -.03589 .0152096 -2.36 0.018 -.0657003 -.0060797
> ------------------------------------------------------------------------------
> Instruments for first differences equation
> Standard
> D.(yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr1982 yr1983 yr1984)
> GMM-type (missing=0, separate instruments for each period unless collapsed)
> L(2/10).(w k)
> ------------------------------------------------------------------------------
> Arellano-Bond test for AR(1) in first differences: z = -0.40 Pr > z = 0.689
> Arellano-Bond test for AR(2) in first differences: z = -1.70 Pr > z = 0.088
> ------------------------------------------------------------------------------
> Sargan test of overid. restrictions: chi2(54) = 100.69 Prob > chi2 = 0.000
> (Not robust, but not weakened by many instruments.)
> Hansen test of overid. restrictions: chi2(54) = 61.06 Prob > chi2 = 0.237
> (Robust, but can be weakened by many instruments.)
>
> Difference-in-Hansen tests of exogeneity of instrument subsets:
> iv(yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr1982 yr1983 yr1984)
> Hansen test excluding group: chi2(46) = 51.97 Prob > chi2 = 0.253
> Difference (null H = exogenous): chi2(8) = 9.09 Prob > chi2 = 0.335
>
> . estimates store ab2
>
> . esttab dpd ab2
>
> --------------------------------------------
> (1) (2)
> n n
> --------------------------------------------
> w -0.525** -0.525**
> (-2.81) (-2.81)
>
> k 0.693*** 0.693***
> (5.99) (5.99)
>
> yr1977 -0.0469* 0.0273
> (-2.09) (0.58)
>
> yr1978 -0.0794** -0.00524
> (-3.04) (-0.10)
>
> yr1979 -0.0908** -0.0167
> (-3.08) (-0.31)
>
> yr1980 -0.108*** -0.0341
> (-3.80) (-0.66)
>
> yr1981 -0.137*** -0.0626
> (-5.33) (-1.59)
>
> yr1982 -0.133*** -0.0588*
> (-4.32) (-2.39)
>
> yr1983 -0.110** -0.0359*
> (-2.89) (-2.36)
>
> yr1984 -0.0742
> (-1.68)
>
> yr1976 0.0742
> (1.68)
> --------------------------------------------
> N 891 891
> --------------------------------------------
> t statistics in parentheses
> * p<0.05, ** p<0.01, *** p<0.001
>
> . drop _est_dpd _est_ab2
>
> . xtdpd n w k yr*, dgmmiv(w k, l(2 3)) div( yr*) vce(robust) twostep nocons
> note: yr1976 dropped from div() because of collinearity
> note: D.yr1976 dropped because of collinearity
>
> Dynamic panel-data estimation Number of obs = 891
> Group variable: id Number of groups = 140
> Time variable: year
> Obs per group: min = 6
> avg = 6.364286
> max = 8
>
> Number of instruments = 34 Wald chi2(10) = 345.89
> Prob > chi2 = 0.0000
> Two-step results
> ------------------------------------------------------------------------------
> | WC-Robust
> n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> w | -.3776668 .2218938 -1.70 0.089 -.8125707 .0572371
> k | .5092317 .1684431 3.02 0.003 .1790893 .8393742
> yr1977 | -.0312372 .0242268 -1.29 0.197 -.078721 .0162465
> yr1978 | -.0533206 .0304038 -1.75 0.079 -.1129109 .0062697
> yr1979 | -.0617977 .0331106 -1.87 0.062 -.1266932 .0030978
> yr1980 | -.0896192 .032657 -2.74 0.006 -.1536258 -.0256127
> yr1981 | -.1448843 .0292449 -4.95 0.000 -.2022033 -.0875652
> yr1982 | -.1697914 .0378177 -4.49 0.000 -.2439128 -.0956701
> yr1983 | -.1665457 .0492459 -3.38 0.001 -.2630659 -.0700256
> yr1984 | -.1511347 .0648747 -2.33 0.020 -.2782867 -.0239827
> ------------------------------------------------------------------------------
> Instruments for differenced equation
> GMM-type: L(2/3).w L(2/3).k
> Standard: D.yr1977 D.yr1978 D.yr1979 D.yr1980 D.yr1981
> D.yr1982 D.yr1983 D.yr1984
>
> . estimates store dpd
>
> . xtabond2 n w k yr*, gmm(w k, l(2 3)) iv(yr*) robust twostep nolevel
> Favoring speed over space. To switch, type or click on mata: mata set
> matafavor space, perm.
> yr1984 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/Hansen statistics may be negative.
>
> Dynamic panel-data estimation, two-step difference GMM
> ------------------------------------------------------------------------------
> Group variable: id Number of obs = 891
> Time variable : year Number of groups = 140
> Number of instruments = 34 Obs per group: min = 6
> Wald chi2(10) = 345.89 avg = 6.36
> Prob > chi2 = 0.000 max = 8
> ------------------------------------------------------------------------------
> | Corrected
> n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> w | -.3776668 .2218938 -1.70 0.089 -.8125707 .0572371
> k | .5092317 .1684431 3.02 0.003 .1790893 .8393742
> yr1976 | .1511347 .0648747 2.33 0.020 .0239827 .2782867
> yr1977 | .1198974 .0689463 1.74 0.082 -.0152348 .2550297
> yr1978 | .0978141 .0758716 1.29 0.197 -.0508914 .2465197
> yr1979 | .089337 .0789305 1.13 0.258 -.065364 .244038
> yr1980 | .0615155 .0736248 0.84 0.403 -.0827866 .2058175
> yr1981 | .0062504 .0554414 0.11 0.910 -.1024127 .1149135
> yr1982 | -.0186567 .0355157 -0.53 0.599 -.0882662 .0509527
> yr1983 | -.015411 .0205404 -0.75 0.453 -.0556695 .0248474
> ------------------------------------------------------------------------------
> Instruments for first differences equation
> Standard
> D.(yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr1982 yr1983 yr1984)
> GMM-type (missing=0, separate instruments for each period unless collapsed)
> L(2/3).(w k)
> ------------------------------------------------------------------------------
> Arellano-Bond test for AR(1) in first differences: z = 0.44 Pr > z = 0.660
> Arellano-Bond test for AR(2) in first differences: z = -0.86 Pr > z = 0.390
> ------------------------------------------------------------------------------
> Sargan test of overid. restrictions: chi2(24) = 43.27 Prob > chi2 = 0.009
> (Not robust, but not weakened by many instruments.)
> Hansen test of overid. restrictions: chi2(24) = 25.01 Prob > chi2 = 0.405
> (Robust, but can be weakened by many instruments.)
>
> Difference-in-Hansen tests of exogeneity of instrument subsets:
> iv(yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr1982 yr1983 yr1984)
> Hansen test excluding group: chi2(16) = 16.30 Prob > chi2 = 0.432
> Difference (null H = exogenous): chi2(8) = 8.71 Prob > chi2 = 0.367
>
> . estimates store ab2
>
> . esttab dpd ab2
>
> --------------------------------------------
> (1) (2)
> n n
> --------------------------------------------
> w -0.378 -0.378
> (-1.70) (-1.70)
>
> k 0.509** 0.509**
> (3.02) (3.02)
>
> yr1977 -0.0312 0.120
> (-1.29) (1.74)
>
> yr1978 -0.0533 0.0978
> (-1.75) (1.29)
>
> yr1979 -0.0618 0.0893
> (-1.87) (1.13)
>
> yr1980 -0.0896** 0.0615
> (-2.74) (0.84)
>
> yr1981 -0.145*** 0.00625
> (-4.95) (0.11)
>
> yr1982 -0.170*** -0.0187
> (-4.49) (-0.53)
>
> yr1983 -0.167*** -0.0154
> (-3.38) (-0.75)
>
> yr1984 -0.151*
> (-2.33)
>
> yr1976 0.151*
> (2.33)
> --------------------------------------------
> N 891 891
> --------------------------------------------
> t statistics in parentheses
> * p<0.05, ** p<0.01, *** p<0.001
>
>
> . xtdpd n w k yr*, dgmmiv(w k, l(2 2)) div( yr*) vce(robust) twostep nocons
> note: yr1976 dropped from div() because of collinearity
> note: D.yr1976 dropped because of collinearity
>
> Dynamic panel-data estimation Number of obs = 891
> Group variable: id Number of groups = 140
> Time variable: year
> Obs per group: min = 6
> avg = 6.364286
> max = 8
>
> Number of instruments = 22 Wald chi2(10) = 282.19
> Prob > chi2 = 0.0000
> Two-step results
> ------------------------------------------------------------------------------
> | WC-Robust
> n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> w | -.5975386 .22683 -2.63 0.008 -1.042117 -.15296
> k | .8595294 .2587153 3.32 0.001 .3524567 1.366602
> yr1977 | -.0548315 .0248217 -2.21 0.027 -.1034811 -.0061819
> yr1978 | -.0999575 .0341455 -2.93 0.003 -.1668814 -.0330336
> yr1979 | -.1194597 .0385212 -3.10 0.002 -.19496 -.0439595
> yr1980 | -.12629 .0349355 -3.61 0.000 -.1947623 -.0578176
> yr1981 | -.1332924 .0315413 -4.23 0.000 -.1951123 -.0714726
> yr1982 | -.1101542 .0543083 -2.03 0.043 -.2165964 -.0037119
> yr1983 | -.073628 .0737858 -1.00 0.318 -.2182454 .0709895
> yr1984 | -.038052 .0967039 -0.39 0.694 -.2275881 .1514842
> ------------------------------------------------------------------------------
> Instruments for differenced equation
> GMM-type: L(2/2).w L(2/2).k
> Standard: D.yr1977 D.yr1978 D.yr1979 D.yr1980 D.yr1981
> D.yr1982 D.yr1983 D.yr1984
>
> . estimates store dpd
>
> . xtabond2 n w k yr*, gmm(w k, l(2 2)) iv(yr*) robust twostep nolevel
> Favoring speed over space. To switch, type or click on mata: mata set
> matafavor space, perm.
> yr1984 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/Hansen statistics may be negative.
>
> Dynamic panel-data estimation, two-step difference GMM
> ------------------------------------------------------------------------------
> Group variable: id Number of obs = 891
> Time variable : year Number of groups = 140
> Number of instruments = 22 Obs per group: min = 6
> Wald chi2(10) = 265.24 avg = 6.36
> Prob > chi2 = 0.000 max = 8
> ------------------------------------------------------------------------------
> | Corrected
> n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> w | -.5482155 .1914433 -2.86 0.004 -.9234375 -.1729936
> k | .7211971 .3095853 2.33 0.020 .1144209 1.327973
> yr1976 | .0840834 .1057541 0.80 0.427 -.1231909 .2913577
> yr1977 | .0351314 .1117762 0.31 0.753 -.1839458 .2542087
> yr1978 | -.0016077 .1249189 -0.01 0.990 -.2464443 .2432289
> yr1979 | -.017301 .1322428 -0.13 0.896 -.2764921 .2418901
> yr1980 | -.0296638 .1200275 -0.25 0.805 -.2649135 .2055858
> yr1981 | -.051615 .08634 -0.60 0.550 -.2208382 .1176082
> yr1982 | -.0477458 .0482995 -0.99 0.323 -.142411 .0469194
> yr1983 | -.025815 .0244998 -1.05 0.292 -.0738337 .0222037
> ------------------------------------------------------------------------------
> Instruments for first differences equation
> Standard
> D.(yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr1982 yr1983 yr1984)
> GMM-type (missing=0, separate instruments for each period unless collapsed)
> L2.(w k)
> ------------------------------------------------------------------------------
> Arellano-Bond test for AR(1) in first differences: z = -0.48 Pr > z = 0.631
> Arellano-Bond test for AR(2) in first differences: z = -1.36 Pr > z = 0.173
> ------------------------------------------------------------------------------
> Sargan test of overid. restrictions: chi2(12) = 28.17 Prob > chi2 = 0.005
> (Not robust, but not weakened by many instruments.)
> Hansen test of overid. restrictions: chi2(12) = 14.79 Prob > chi2 = 0.253
> (Robust, but can be weakened by many instruments.)
>
> Difference-in-Hansen tests of exogeneity of instrument subsets:
> iv(yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr1982 yr1983 yr1984)
> Hansen test excluding group: chi2(4) = 5.46 Prob > chi2 = 0.243
> Difference (null H = exogenous): chi2(8) = 9.33 Prob > chi2 = 0.315
>
> . estimates store ab2
>
> . esttab dpd ab2
>
> --------------------------------------------
> (1) (2)
> n n
> --------------------------------------------
> w -0.598** -0.548**
> (-2.63) (-2.86)
>
> k 0.860*** 0.721*
> (3.32) (2.33)
>
> yr1977 -0.0548* 0.0351
> (-2.21) (0.31)
>
> yr1978 -0.1000** -0.00161
> (-2.93) (-0.01)
>
> yr1979 -0.119** -0.0173
> (-3.10) (-0.13)
>
> yr1980 -0.126*** -0.0297
> (-3.61) (-0.25)
>
> yr1981 -0.133*** -0.0516
> (-4.23) (-0.60)
>
> yr1982 -0.110* -0.0477
> (-2.03) (-0.99)
>
> yr1983 -0.0736 -0.0258
> (-1.00) (-1.05)
>
> yr1984 -0.0381
> (-0.39)
>
> yr1976 0.0841
> (0.80)
> --------------------------------------------
> N 891 891
> --------------------------------------------
> t statistics in parentheses
> * p<0.05, ** p<0.01, *** p<0.001
>
> Thanks in advance,
> Daniel
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/