These two commands do not compute Driscoll Kraay standard errors, sorry.
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. xtdpdgmm lnexport3 l.lnexport3 lnulc1 lnL dlnreal_K lnumc l.lnrealintangible_K, /// > model(diff) collapse gmm(lnexport3, lag(2 3)) /// > gmm(lnulc1, lag(2 3)) /// > gmm(lnL, lag(2 3)) /// > gmm(dlnreal_K, lag(1 2)) /// > gmm(lnumc, lag(1 2)) /// > gmm(lnrealintangible_K, lag (1 2)) /// > /// > gmm(lnexport3, lag(1 1) diff model(level)) /// > gmm(lnulc1, lag(1 1) diff model(level)) /// > gmm(lnL, lag(1 1) diff model(level)) /// > gmm(dlnreal_K, lag(0 0) diff model(level)) /// > gmm(lnumc, lag(0 0) diff model(level)) /// > gmm(lnrealintangible_K, lag (0 0) diff model (level)) /// > teffects twostep vce(robust, dc) small overid Generalized method of moments estimation Fitting full model: Step 1 f(b) = .01217351 Step 2 f(b) = .02229234 Fitting reduced model 1: Step 1 f(b) = .01825629 Fitting reduced model 2: Step 1 f(b) = .01806326 Fitting reduced model 3: Step 1 f(b) = .02210642 Fitting reduced model 4: Step 1 f(b) = .02227238 Fitting reduced model 5: Step 1 f(b) = .01835181 Fitting reduced model 6: Step 1 f(b) = .01389141 Fitting reduced model 7: Step 1 f(b) = .02192478 Fitting reduced model 8: Step 1 f(b) = .02228061 Fitting reduced model 9: Step 1 f(b) = .0193838 Fitting reduced model 10: Step 1 f(b) = .02228957 Fitting reduced model 11: Step 1 f(b) = .01851922 Fitting reduced model 12: Step 1 f(b) = .02220404 Fitting reduced model 13: Step 1 f(b) = .00270867 Group variable: id Number of obs = 4402 Time variable: year Number of groups = 529 Moment conditions: linear = 29 Obs per group: min = 1 nonlinear = 0 avg = 8.321361 total = 29 max = 11 (Std. Err. adjusted for 529 clusters in id) ------------------------------------------------------------------------------------ | DC-Robust lnexport3 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------------+---------------------------------------------------------------- lnexport3 | L1. | .5724923 .0602836 9.50 0.000 .4540672 .6909175 | lnulc1 | -.6139368 .1540915 -3.98 0.000 -.9166446 -.3112291 lnL | .7445906 .1702559 4.37 0.000 .4101284 1.079053 dlnreal_K | .0816588 .0346772 2.35 0.019 .0135365 .149781 lnumc | -.4469151 .1617449 -2.76 0.006 -.7646577 -.1291726 | lnrealintangible_K | L1. | -.0093538 .0119297 -0.78 0.433 -.0327893 .0140817 | year | 2010 | .0766462 .0537471 1.43 0.154 -.0289382 .1822306 2011 | .1398977 .0476322 2.94 0.003 .0463258 .2334697 2012 | .103861 .0426544 2.43 0.015 .0200678 .1876543 2013 | .1476749 .0466095 3.17 0.002 .056112 .2392378 2014 | .2201735 .0483601 4.55 0.000 .1251717 .3151754 2015 | .2367494 .0529298 4.47 0.000 .1327706 .3407282 2016 | .2454128 .0546268 4.49 0.000 .1381002 .3527254 2017 | .2708834 .0549217 4.93 0.000 .1629914 .3787753 2018 | .2706555 .0580685 4.66 0.000 .1565819 .3847292 2019 | .2205907 .0591024 3.73 0.000 .1044859 .3366955 | _cons | -3.575295 .8959527 -3.99 0.000 -5.335364 -1.815225 ------------------------------------------------------------------------------------ Instruments corresponding to the linear moment conditions: 1, model(diff): L2.lnexport3 L3.lnexport3 2, model(diff): L2.lnulc1 L3.lnulc1 3, model(diff): L2.lnL L3.lnL 4, model(diff): L1.dlnreal_K L2.dlnreal_K 5, model(diff): L1.lnumc L2.lnumc 6, model(diff): L1.lnrealintangible_K L2.lnrealintangible_K 7, model(level): L1.D.lnexport3 8, model(level): L1.D.lnulc1 9, model(level): L1.D.lnL 10, model(level): D.dlnreal_K 11, model(level): D.lnumc 12, model(level): D.lnrealintangible_K 13, model(level): 2010bn.year 2011.year 2012.year 2013.year 2014.year 2015.year 2016.year 2017.year 2018.year 2019.year 14, model(level): _cons . end of do-file . estat overid, difference Sargan-Hansen (difference) test of the overidentifying restrictions H0: (additional) overidentifying restrictions are valid 2-step weighting matrix from full model | Excluding | Difference Moment conditions | chi2 df p | chi2 df p ------------------+-----------------------------+----------------------------- 1, model(diff) | 9.6576 10 0.4710 | 2.1351 2 0.3439 2, model(diff) | 9.5555 10 0.4803 | 2.2372 2 0.3267 3, model(diff) | 11.6943 10 0.3060 | 0.0984 2 0.9520 4, model(diff) | 11.7821 10 0.2999 | 0.0106 2 0.9947 5, model(diff) | 9.7081 10 0.4665 | 2.0845 2 0.3527 6, model(diff) | 7.3486 10 0.6922 | 4.4441 2 0.1084 7, model(level) | 11.5982 11 0.3946 | 0.1944 1 0.6592 8, model(level) | 11.7864 11 0.3799 | 0.0062 1 0.9372 9, model(level) | 10.2540 11 0.5077 | 1.5386 1 0.2148 10, model(level) | 11.7912 11 0.3795 | 0.0015 1 0.9695 11, model(level) | 9.7967 11 0.5488 | 1.9960 1 0.1577 12, model(level) | 11.7459 11 0.3830 | 0.0467 1 0.8289 13, model(level) | 1.4329 2 0.4885 | 10.3598 10 0.4095
. xtdpdgmm lnexport3 l.lnexport3 lnulc1 lnL dlnreal_K lnumc l.lnintangible_K, /// > model(diff) collapse gmm(lnexport3, lag(2 5)) /// > gmm(lnulc1, lag(2 5)) /// > gmm(lnL, lag(2 5)) /// > gmm(dlnreal_K, lag(2 5)) /// > gmm(lnumc, lag(2 5)) /// > gmm(lnintangible_K, lag (2 5)) /// > /// > gmm(lnexport3, lag(1 2) diff model(level)) /// > gmm(lnulc1, lag(1 2) diff model(level)) /// > gmm(lnL, lag(1 2) diff model(level)) /// > gmm(dlnreal_K, lag(1 2) diff model(level)) /// > gmm(lnumc, lag(1 2) diff model(level)) /// > gmm(lnintangible_K, lag (1 2) diff model (level)) /// > teffects cu vce(r) overid Generalized method of moments estimation asarray_keys(): 3301 subscript invalid xtdpdgmm_opt::iv(): - function returned error xtdpdgmm_opt::init(): - function returned error xtdpdgmm(): - function returned error <istmt>: - function returned error
. estat serialpm xtdpdgmm_serialpm(): 3200 conformability error <istmt>: - function returned error r(3200);
net install xtdpdgmm, from(http://www.kripfganz.de/stata/) replace
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