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我在做差分GMM估计时输入程序得到下面的结果:
. xtabond lnec lnurb lnind lnrgdp lnep lncp lna2 lnu2 , lags(1)
Arellano-Bond dynamic panel-data estimation Number of obs = 51
Group variable: prov Number of groups = 3
Time variable: year
Obs per group: min = 17
avg = 17
max = 17
Number of instruments = 52 Wald chi2(8) = 24815.81
Prob > chi2 = 0.0000
One-step results
------------------------------------------------------------------------------
lnec | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnec |
L1. | .0727308 .0528099 1.38 0.168 -.0307747 .1762363
|
lnurb | -3.018574 .8052296 -3.75 0.000 -4.596795 -1.440353
lnind | -.0293574 .0877554 -0.33 0.738 -.2013548 .1426401
lnrgdp | 1.027685 .0525746 19.55 0.000 .9246408 1.130729
lnep | .882746 .0676065 13.06 0.000 .7502398 1.015252
lncp | .5431697 .0403387 13.47 0.000 .4641074 .6222321
lna2 | -.0317933 .0067792 -4.69 0.000 -.0450803 -.0185064
lnu2 | .4304405 .1180957 3.64 0.000 .1989771 .6619038
_cons | -5.328122 1.171102 -4.55 0.000 -7.623439 -3.032805
------------------------------------------------------------------------------
Instruments for differenced equation
GMM-type: L(2/.).lnec
Standard: D.lnurb D.lnind D.lnrgdp D.lnep D.lncp D.lna
但是我输入:estate abonds时出现artests not computed for one-step system estimator with vce(gmm)的情况,这该怎么办?急急急,求大神帮助。
另外,我做系统GMM估计时,被解释变量的滞后项Y和解释变量p的内生两阶做工具变量,程序怎么编。谢谢啦