黃河泉 发表于 2018-7-17 09:52 
我通常只用 xtabond2 指令，其他的我不熟。
老师您好，我用xtabond2做检验，但是AR（1）、AR（2）都是0.000，可以麻烦您给下，这个检验合理吗？可以用吗？
xtabond2 induratio l.induratio l(1/2).exportr l(1/2).ln_exportppi lnlabor lnkint lnyselppi profitr rdint2 lnsubincppi fincon age,gmm(l.(induratio ln_exportppi exportr ),collapse) iv(cidistjhx jhxdestiGDP10000 induemplyee) twostep robust nolevel art(3)
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step difference GMM
------------------------------------------------------------------------------
Group variable: new_id Number of obs = 77422
Time variable : year Number of groups = 23098
Number of instruments = 39 Obs per group: min = 0
Wald chi2(13) = 471.40 avg = 3.35
Prob > chi2 = 0.000 max = 11
------------------------------------------------------------------------------
| Corrected
induratio | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
induratio |
L1. | .2705 .0211924 12.76 0.000 .2289636 .3120364
|
exportr |
L1. | -.2023831 .0304679 -6.64 0.000 -.2620991 -.1426672
L2. | -.1119981 .0152684 -7.34 0.000 -.1419236 -.0820727
|
ln_exportppi |
L1. | .2591346 .0285002 9.09 0.000 .2032752 .314994
L2. | .1428379 .0109247 13.07 0.000 .121426 .1642499
|
lnlabor | .216296 .1229578 1.76 0.079 -.0246968 .4572889
lnkint | .5350697 .1261085 4.24 0.000 .2879016 .7822377
lnyselppi | -.314035 .1259904 -2.49 0.013 -.5609717 -.0670983
profitr | 3.469151 .7175261 4.83 0.000 2.062825 4.875476
rdint2 | -.999456 .487476 -2.05 0.040 -1.954891 -.0440205
lnsubincppi | .1154905 .0434382 2.66 0.008 .0303532 .2006279
fincon | -.0090766 .1103949 -0.08 0.934 -.2254466 .2072934
age | .0009951 .0065444 0.15 0.879 -.0118317 .0138218
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(cidistjhx jhxdestiGDP10000 induemplyee)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/13).(L.induratio L.ln_exportppi L.exportr) collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -8.97 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -3.23 Pr > z = 0.001
Arellano-Bond test for AR(3) in first differences: z = 4.04 Pr > z = 0.000
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(26) = 55.67 Prob > chi2 = 0.001
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(26) = 35.34 Prob > chi2 = 0.105
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(cidistjhx jhxdestiGDP10000 induemplyee)
Hansen test excluding group: chi2(23) = 27.71 Prob > chi2 = 0.227
Difference (null H = exogenous): chi2(3) = 7.62 Prob > chi2 = 0.055
.
end of do-file
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此外，要是把lags(1)改成lags(2) AR能显示，但outwardfdi的滞后项不再显著，请问有滞后项显著这个要求吗？？？
