SYS-GMM估计问题，AR(2)无值，紧急。。。。

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收藏 2008-06-16

SYS-GMM估计问题，AR(2)无值，紧急。。。。在用STATA估计GMM时，AR（2）没有值，我用的数据是52个个体，2003-2006，4年的数据，因变量的滞后项有3年数据。是不是时间4年太少了?但又没有更多时间的数据。 如果是因为滞后项3期太少了，可以不可以在把因变量滞后而缺少的一年补齐，使因变量为2003-2006数据，因变量滞后项取2002-2005，两者都为四年呢？？？？？？？问题怎么解决，感谢赐教！ . xtabond2 LJGG LRJSJ LRK LFCYBZ LMJ LRJSR LGZZS LLJGG, gmm(LLJGG, lag(2 3)) iv(LRJSJ LRK LFCYBZ LMJ LRJSR LGZZS) nom two Building GMM instruments.. Estimating. Performing specification tests.Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: county&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of obs&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 Time variable : year&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of groups&nbsp;&nbsp; =&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 Number of instruments = 9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Obs per group: min =&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 Wald chi2(6)&nbsp; =&nbsp;&nbsp;&nbsp; 620.77&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; avg =&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00 Prob &gt; chi2&nbsp;&nbsp; =&nbsp;&nbsp;&nbsp;&nbsp; 0.000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; max =&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 ------------------------------------------------------------------------------ &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LJGG |&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Coef.&nbsp;&nbsp; Std. Err.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; z&nbsp;&nbsp;&nbsp; P&gt;|z|&nbsp;&nbsp;&nbsp;&nbsp; [95% Conf. Interval] -------------+---------------------------------------------------------------- &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LRJSJ |&nbsp;&nbsp; .0364959&nbsp;&nbsp; .0311399&nbsp;&nbsp;&nbsp;&nbsp; 1.17&nbsp;&nbsp; 0.241&nbsp;&nbsp;&nbsp; -.0245372&nbsp;&nbsp;&nbsp;&nbsp; .097529 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LRK |&nbsp; -.0807054&nbsp;&nbsp; .0538728&nbsp;&nbsp;&nbsp; -1.50&nbsp;&nbsp; 0.134&nbsp;&nbsp;&nbsp; -.1862942&nbsp;&nbsp;&nbsp; .0248834 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LFCYBZ |&nbsp; -.0482425&nbsp;&nbsp; .1101858&nbsp;&nbsp;&nbsp; -0.44&nbsp;&nbsp; 0.662&nbsp;&nbsp;&nbsp; -.2642028&nbsp;&nbsp;&nbsp; .1677177 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LMJ |&nbsp; -.0009994&nbsp;&nbsp; .0222245&nbsp;&nbsp;&nbsp; -0.04&nbsp;&nbsp; 0.964&nbsp;&nbsp;&nbsp; -.0445586&nbsp;&nbsp;&nbsp; .0425599 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LRJSR |&nbsp;&nbsp; .1027473&nbsp;&nbsp; .0540924&nbsp;&nbsp;&nbsp;&nbsp; 1.90&nbsp;&nbsp; 0.058&nbsp;&nbsp;&nbsp; -.0032719&nbsp;&nbsp;&nbsp; .2087664 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LGZZS |&nbsp;&nbsp; .2794209&nbsp;&nbsp; .1796872&nbsp;&nbsp;&nbsp;&nbsp; 1.56&nbsp;&nbsp; 0.120&nbsp;&nbsp;&nbsp; -.0727595&nbsp;&nbsp;&nbsp; .6316012 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LLJGG |&nbsp;&nbsp; .6958339&nbsp;&nbsp; .2078366&nbsp;&nbsp;&nbsp;&nbsp; 3.35&nbsp;&nbsp; 0.001&nbsp;&nbsp;&nbsp;&nbsp; .2884816&nbsp;&nbsp;&nbsp; 1.103186 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; _cons |&nbsp; -.1749919&nbsp;&nbsp; .5102016&nbsp;&nbsp;&nbsp; -0.34&nbsp;&nbsp; 0.732&nbsp;&nbsp;&nbsp; -1.174969&nbsp;&nbsp;&nbsp; .8249849 ------------------------------------------------------------------------------ Warning: Uncorrected two-step standard errors are unreliable.Instruments for first differences equation &nbsp; Standard &nbsp;&nbsp;&nbsp; D.(LRJSJ LRK LFCYBZ LMJ LRJSR LGZZS) &nbsp; GMM-type (missing=0, separate instruments for each period unless collapsed) &nbsp;&nbsp;&nbsp; L(2/3).LLJGG Instruments for levels equation &nbsp; Standard &nbsp;&nbsp;&nbsp; _cons &nbsp;&nbsp;&nbsp; LRJSJ LRK LFCYBZ LMJ LRJSR LGZZS &nbsp; GMM-type (missing=0, separate instruments for each period unless collapsed) &nbsp;&nbsp;&nbsp; DL.LLJGG ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z =&nbsp; -1.44&nbsp; Pr &gt; z =&nbsp; 0.151 Arellano-Bond test for AR(2) in first differences: z =&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; .&nbsp; Pr &gt; z =&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; . ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(1)&nbsp;&nbsp;&nbsp; =&nbsp;&nbsp; 0.18&nbsp; Prob &gt; chi2 =&nbsp; 0.671 &nbsp; (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(1)&nbsp;&nbsp;&nbsp; =&nbsp;&nbsp; 0.33&nbsp; Prob &gt; chi2 =&nbsp; 0.563 &nbsp; (Robust, but can be weakened by many instruments.)