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论坛 计量经济学与统计论坛 五区 计量经济学与统计软件 Stata专版
4079 1
2009-07-28
. xtabond2  var6 l.var6 l(0/1).(var2  var4) , gmm(l. var6 var2 var4)robust
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
  Using a generalized inverse to calculate robust weighting matrix for Hansen test.
  Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, one-step system GMM
------------------------------------------------------------------------------
Group variable: c                               Number of obs      =        94
Time variable : year                            Number of groups   =        65
Number of instruments = 13                      Obs per group: min =         1
Wald chi2(5)  =     43.28                                      avg =      1.45
Prob > chi2   =     0.000                                      max =         2
------------------------------------------------------------------------------
             |               Robust
        var6 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        var6 |
         L1. |  -.3697021   .1800961    -2.05   0.040    -.7226839   -.0167202
        var2 |
         --. |  -.0476367   .0269067    -1.77   0.077    -.1003729    .0050995
         L1. |   .0089197   .0060861     1.47   0.143    -.0030088    .0208482
        var4 |
         --. |   .0094931   .0204176     0.46   0.642    -.0305247     .049511
         L1. |  -.0462709   .0146179    -3.17   0.002    -.0749214   -.0176204
       _cons |   1.040288   .1377014     7.55   0.000      .770398    1.310177
------------------------------------------------------------------------------
Instruments for first differences equation
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/.).(var6 var2 var4)
Instruments for levels equation
  Standard
    _cons
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    D.(var6 var2 var4)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =      .  Pr > z =      .
Arellano-Bond test for AR(2) in first differences: z =      .  Pr > z =      .
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(7)    =  72.56  Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(7)    =   6.91  Prob > chi2 =  0.438
  (Robust, but can be weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:
  GMM instruments for levels
    Hansen test excluding group:     chi2(1)    =   0.53  Prob > chi2 =  0.468
    Difference (null H = exogenous): chi2(6)    =   6.38  Prob > chi2 =  0.382
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2009-7-29 16:48:45
能说一下你的instruments 和 group是什么吗?
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