xtabond2 y l.y l(0/1).(rd l ip) year*,gmm(l.(y l rd)) iv(year*,equation(level)) robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
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 robust weighting matrix for Hansen test.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
Group variable: city_dum Number of obs = 210
Time variable : year Number of groups = 30
Number of instruments = 83 Obs per group: min = 7
F(8, 29) = 624.36 avg = 7.00
Prob > F = 0.000 max = 7
Robust
y Coef. Std. Err. t P>t [95% Conf. Interval]
y
L1. .9294596 .0484361 19.19 0.000 .8303965 1.028523
rd
--. .2459836 .0870797 2.82 0.008 .0678857 .4240816
L1. -.0663017 .0515252 -1.29 0.208 -.1716825 .0390792
l
--. -.6440051 .1009373 -6.38 0.000 -.850445 -.4375652
L1. .5511354 .0761284 7.24 0.000 .3954353 .7068356
ip
--. -.0553142 .0638734 -0.87 0.394 -.18595 .0753215
L1. .0258019 .0495284 0.52 0.606 -.0754949 .1270988
year -.0638999 .009686 -6.60 0.000 -.0837099 -.0440899
_cons 127.703 19.15473 6.67 0.000 88.52717 166.8788
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/7).(L.y L.l L.rd)
Instruments for levels equation
Standard
year
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(L.y L.l L.rd)
Arellano-Bond test for AR(1) in first differences: z = -2.75 Pr > z = 0.006
Arellano-Bond test for AR(2) in first differences: z = 1.22 Pr > z = 0.224
Sargan test of overid. restrictions: chi2(74) = 119.33 Prob > chi2 = 0.001
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(74) = 25.76 Prob > chi2 = 1.000
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(56) = 25.26 Prob > chi2 = 1.000
Difference (null H = exogenous): chi2(18) = 0.50 Prob > chi2 = 1.000
iv(year, eq(level))
Hansen test excluding group: chi2(73) = 25.76 Prob > chi2 = 1.000
Difference (null H = exogenous): chi2(1) = 0.00 Prob > chi2 = 0.998