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st: Use of xtabond2
From
"Mavilde Modesto" <[email protected]>
To
"'Sergiy Radyakin'" <[email protected]>
Subject
st: Use of xtabond2
Date
Sat, 8 Jun 2013 23:36:29 +0100
Dear Statalist,
I am a new user of Stata and I do not Know enough to solve those Two
"Warnings" I have got running xtabond2.
The first one I do not understand because I use 49 instruments but I have
got 510 observations.
About the second warning anyone can help me indicating which command should
I use to produce and use the generalized inverse to calculate optimal
weighting matrix for two-step estimation and how to proceed?
I would be so grateful!
Here are the results I have got:
xi: xtabond2 logGVApc l.logGVApc logPubInvpc logProductiv
i.yearid,gmm(logGVApc,lag(2 2)) iv(i.yearid) robust twostep small/*2
lag*//*considering Public Investment as exogenous*/
i.yearid _Iyearid_1-18 (naturally coded; _Iyearid_1 omitted)
Favoring speed over space. To switch, type or click on mata: mata set
matafavor space, perm.
_Iyearid_18 dropped due to collinearity
Warning: Number of instruments may be large relative to number of
observations.
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: id Number of obs = 510
Time variable : Periodo Number of groups = 30
Number of instruments = 49 Obs per group: min = 17
avg = 17.00
F(19, 29) = 967.14
Prob > F = 0.000 max = 17
logGVApc Coef. Corrected Std. Err. t P>t [95% Conf. Interval]
logGVApc
L1. .682456 .1063249 6.42 0.000 .4649971 .8999149
logPubInvpc -.0131582 .033408 -0.39 0.697 -.0814852 .0551688
logProductiv .3087351 .1130752 2.73 0.011 .0774704 .5399997
_Iyearid_2 -.0068182 .0563709 -0.12 0.905 -.1221097 .1084733
_Iyearid_3 .0011161 .0454337 0.02 0.981 -.0918064 .0940385
_Iyearid_4 -.0114692 .0372671 -0.31 0.760 -.0876889 .0647506
_Iyearid_5 .0045814 .0361524 0.13 0.900 -.0693586 .0785214
_Iyearid_6 -.0350082 .03002 -1.17 0.253 -.096406 .0263896
_Iyearid_7 -.0075198 .0267703 -0.28 0.781 -.0622712 .0472316
_Iyearid_8 -.0195811 .028722 -0.68 0.501 -.0783242 .039162
_Iyearid_9 .0031761 .020015 0.16 0.875 -.0377591 .0441114
_Iyearid_10 .0003316 .0215934 0.02 0.988 -.0438319 .044495
_Iyearid_11 .0088895 .0172075 0.52 0.609 -.0263038 .0440827
_Iyearid_12 .0194218 .0134674 1.44 0.160 -.0081222 .0469658
_Iyearid_13 .0252198 .0125812 2.00 0.054 -.0005116 .0509512
_Iyearid_14 .0273918 .0257642 1.06 0.296 -.0253019 .0800856
_Iyearid_15 .011291 .0230309 0.49 0.628 -.0358124 .0583944
_Iyearid_16 .0043055 .0191247 0.23 0.823 -.0348089 .0434199
_Iyearid_17 .0141141 .0165234 0.85 0.400 -.0196801 .0479083
_cons -.2379976 .3225759 -0.74 0.467 -.8977395 .4217443
Instruments for first differences equation
Standard
D.(_Iyearid_2 _Iyearid_3 _Iyearid_4 _Iyearid_5 _Iyearid_6 _Iyearid_7
_Iyearid_8 _Iyearid_9 _Iyearid_10 _Iyearid_11 _Iyearid_12 _Iyearid_13
_Iyearid_14 _Iyearid_15 _Iyearid_16 _Iyearid_17 _Iyearid_18)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L2.logGVApc
Instruments for levels equation
Standard
_Iyearid_2 _Iyearid_3 _Iyearid_4 _Iyearid_5 _Iyearid_6 _Iyearid_7
_Iyearid_8 _Iyearid_9 _Iyearid_10 _Iyearid_11 _Iyearid_12 _Iyearid_13
_Iyearid_14 _Iyearid_15 _Iyearid_16 _Iyearid_17 _Iyearid_18
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.logGVApc
Arellano-Bond test for AR(1) in first differences: z = -2.60 Pr > z = 0.009
Arellano-Bond test for AR(2) in first differences: z = 1.33 Pr > z = 0.185
Sargan test of overid. restrictions: chi2(29) = 68.55 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(29) = 17.64 Prob > chi2 = 0.951
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(13) = 17.64 Prob > chi2 = 0.172
Difference (null H = exogenous): chi2(16) = 0.00 Prob > chi2 = 1.000
iv(_Iyearid_2 _Iyearid_3 _Iyearid_4 _Iyearid_5 _Iyearid_6 _Iyearid_7
_Iyearid_8 _Iyearid_9 _Iyearid_10 _Iyearid_11 _Iyearid_12 _Iyearid_13
_Iyearid_14 _Iyearid_15 _Iyearid_16 _Iyearid_17 _Iyearid_18)
Hansen test excluding group: chi2(13) = 10.44 Prob > chi2 = 0.657
Difference (null H = exogenous): chi2(16) = 7.20 Prob > chi2 = 0.969
Mavilde Modesto
Universidade Católica Portuguesa
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