xiongjerry 发表于 2015-2-28 16:52 
第一个warning，可以加入collapse或lag（）来限制工具变量个数。
第二个warning，搞不懂，什么是广义逆矩 ...
你好，能帮我看下下面这个结果有什么问题吗？不胜感激
xtabond2 ik lik lik2 lyk lcfk cfkhhid yrdum*,gmm(lik lik2,lag(1 1) collapse) gmm(lyk lcfk cfkhhid,lag(1 2) collapse) iv(yrdum*) ro
> bust
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
yrdum1 dropped due to collinearity
yrdum8 dropped due to collinearity
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 statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
Group variable: firm Number of obs = 2780
Time variable : year Number of groups = 632
Number of instruments = 20 Obs per group: min = 1
Wald chi2(11) = 303.87 avg = 4.40
Prob > chi2 = 0.000 max = 7
Robust
ik Coef. Std. Err. z P>z [95% Conf. Interval]
lik .5760357 .0964315 5.97 0.000 .3870334 .7650379
lik2 -.6061712 .1851619 -3.27 0.001 -.9690818 -.2432605
lyk -.0143977 .0080182 -1.80 0.073 -.0301132 .0013177
lcfk .061705 .022245 2.77 0.006 .0181057 .1053043
cfkhhid .8439348 .2751188 3.07 0.002 .3047119 1.383158
yrdum2 .0732113 .0111842 6.55 0.000 .0512907 .0951319
yrdum3 .0536512 .0093608 5.73 0.000 .0353044 .0719979
yrdum4 .0289772 .0079563 3.64 0.000 .013383 .0445713
yrdum5 .059661 .007043 8.47 0.000 .0458569 .073465
yrdum6 .0464262 .0060819 7.63 0.000 .0345059 .0583465
yrdum7 .0112769 .0051102 2.21 0.027 .0012612 .0212927
_cons .0176373 .0102865 1.71 0.086 -.0025238 .0377985
Instruments for first differences equation
Standard
D.(yrdum1 yrdum2 yrdum3 yrdum4 yrdum5 yrdum6 yrdum7 yrdum8)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L.(lik lik2) collapsed
L(1/2).(lyk lcfk cfkhhid) collapsed
Instruments for levels equation
Standard
_cons
yrdum1 yrdum2 yrdum3 yrdum4 yrdum5 yrdum6 yrdum7 yrdum8
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(lik lik2) collapsed
D.(lyk lcfk cfkhhid) collapsed
Arellano-Bond test for AR(1) in first differences: z = -9.05 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 1.29 Pr > z = 0.199
Sargan test of overid. restrictions: chi2(8) = 44.34 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(8) = 10.92 Prob > chi2 = 0.206
(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(3) = 4.84 Prob > chi2 = 0.184
Difference (null H = exogenous): chi2(5) = 6.08 Prob > chi2 = 0.299
gmm(lik lik2, collapse lag(1 1))
Hansen test excluding group: chi2(4) = 5.83 Prob > chi2 = 0.212
Difference (null H = exogenous): chi2(4) = 5.09 Prob > chi2 = 0.279
iv(yrdum1 yrdum2 yrdum3 yrdum4 yrdum5 yrdum6 yrdum7 yrdum8)
Hansen test excluding group: chi2(2) = 4.32 Prob > chi2 = 0.115
Difference (null H = exogenous): chi2(6) = 6.60 Prob > chi2 = 0.360
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