请教一下我的系统面板两步回归,有两个解释变量TAANS TAACS和他们的交互项centerTAANCS, TAANS和TAACS目前我是作为外生变量处理,不知是否可以,还想问一下交互项是当内生变量还是外生变量呢?(两个都有试但是都不显著)
顺便请前辈们帮忙看一下我的命令是否有错误的地方?谢谢了

xtabond2 lnARRIVALD l.lnARRIVALD TAANS TAACS centerTAANCS lnGDP lnPOP lnHIGHWAY year2003-year2012, gmm(lnARRIVALD,lag(2 3) collapse) gmm(centerTAANCS, lag(2 3) collapse) iv(TAANS TAACS lnGDP lnPOP lnHIGHWAY year2003-year2012) twostep robust noconstant nodiffsargan
结果如下:
Dynamic panel-data estimation, two-step system GMM
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Group variable: city2 Number of obs = 410
Time variable : year Number of groups = 41
Number of instruments = 21 Obs per group: min = 10
Wald chi2(17) = 136803.24 avg = 10.00
Prob > chi2 = 0.000 max = 10
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| Corrected
lnARRIVALD | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnARRIVALD |
L1. | .4593768 .2738786 1.68 0.093 -.0774154 .9961689
|
TAANS | .0927579 .0524608 1.77 0.077 -.0100635 .1955792
TAACS | .0396145 .0430599 0.92 0.358 -.0447813 .1240103
centerTAANCS | -.006455 .0113592 -0.57 0.570 -.0287187 .0158087
lnGDP | .4113857 .1968005 2.09 0.037 .0256639 .7971076
lnPOP | -.3080697 .1893001 -1.63 0.104 -.679091 .0629517
lnHIGHWAY | .2926704 .1900867 1.54 0.124 -.0798927 .6652335
year2003 | 2.95497 1.599717 1.85 0.065 -.1804175 6.090357
year2004 | 3.129451 1.58641 1.97 0.049 .0201443 6.238757
year2005 | 2.996303 1.58132 1.89 0.058 -.1030267 6.095632
year2006 | 2.962353 1.530052 1.94 0.053 -.0364937 5.961199
year2007 | 2.949607 1.526885 1.93 0.053 -.0430338 5.942247
year2008 | 2.964401 1.547723 1.92 0.055 -.0690803 5.997882
year2009 | 3.000552 1.574193 1.91 0.057 -.0848092 6.085913
year2010 | 3.022044 1.57775 1.92 0.055 -.0702896 6.114378
year2011 | 3.108088 1.604063 1.94 0.053 -.0358185 6.251994
year2012 | 3.165432 1.650897 1.92 0.055 -.0702657 6.40113
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Instruments for first differences equation
Standard
D.(TAANS TAACS lnGDP lnPOP lnHIGHWAY year2003 year2004 year2005 year2006
year2007 year2008 year2009 year2010 year2011 year2012)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/3).centerTAANCS collapsed
L(2/3).lnARRIVALD collapsed
Instruments for levels equation
Standard
TAANS TAACS lnGDP lnPOP lnHIGHWAY year2003 year2004 year2005 year2006
year2007 year2008 year2009 year2010 year2011 year2012
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.centerTAANCS collapsed
DL.lnARRIVALD collapsed
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Arellano-Bond test for AR(1) in first differences: z = -2.24 Pr > z = 0.025
Arellano-Bond test for AR(2) in first differences: z = 1.28 Pr > z = 0.201
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Sargan test of overid. restrictions: chi2(4) = 25.24 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(4) = 8.95 Prob > chi2 = 0.062
(Robust, but weakened by many instruments.)