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From | db10 <petterting@mac.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: How to beat the Sargan test? (gmm for dummies) |
Date | Wed, 21 Mar 2012 10:52:27 -0700 (PDT) |
Hi. In my masters thesis I need to do some estimations for the effect different determinants have on capital structure. The problem is that my knowledge for GMM estimation is scarce. I have managed to construct a model, with xtabond and xtdpdsys, which gives me significant results for capital structure that is supported by earlier empirical findings. The problem is that when I preform Sargan test of overidentifying restrictions the H0 for overidentifying restrictions are valid is confirmed. I don’t understand how to implement endogenous variables and instrumental variables. How to decide what variables are endogenous, exogenous and instrumental is also a mystery to me. Hope somebody can help me with some celerity. Depandant variable: nclta= none current libilities to total assest Explanatory variables: ebitta=profitability, lnoper=size, tfixta=collateral, growth= growth My model is: . xtdpdsys nclta ebitta lnoper tfixta growth, lags(1) twostep artests(2) System dynamic panel-data estimation Number of obs = 1902 Group variable: company Number of groups = 480 Time variable: year Obs per group: min = 3 avg = 3.9625 max = 4 Number of instruments = 14 Wald chi2(5) = 5263.26 Prob > chi2 = 0.0000 Two-step results ------------------------------------------------------------------------------ nclta | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- nclta | L1. | .6037445 .0644683 9.36 0.000 .477389 .7301001 | ebitta | -.1904182 .0056967 -33.43 0.000 -.2015836 -.1792528 lnoper | .0542803 .0154855 3.51 0.000 .0239293 .0846312 tfixta | .2824556 .0701347 4.03 0.000 .144994 .4199171 growth | .0004994 .0003116 1.60 0.109 -.0001113 .0011102 _cons | -.476992 .1435811 -3.32 0.001 -.7584057 -.1955783 ------------------------------------------------------------------------------ Warning: gmm two-step standard errors are biased; robust standard errors are recommended. Instruments for differenced equation GMM-type: L(2/.).nclta Standard: D.ebitta D.lnoper D.tfixta D.growth Instruments for level equation GMM-type: LD.nclta Standard: _cons . . *AUTOCORRELASJON TEST . estat abond Arellano-Bond test for zero autocorrelation in first-differenced errors +-----------------------+ |Order | z Prob > z| |------+----------------| | 1 | -5.82 0.0000 | | 2 |-.49855 0.6181 | +-----------------------+ H0: no autocorrelation . . *SARGAN TEST . estat sargan Sargan test of overidentifying restrictions H0: overidentifying restrictions are valid chi2(8) = 26.56045 Prob > chi2 = 0.0008 -- View this message in context: http://statalist.1588530.n2.nabble.com/How-to-beat-the-Sargan-test-gmm-for-dummies-tp7393001p7393001.html Sent from the Statalist mailing list archive at Nabble.com. * * 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/