Dear Professor Kripfganz:
I would like to ask you to teach me how to apply your xtdpdgmm correctly. I thank you in advance for your kind help. I would like to implement a system-GMM model like the following:
And I get the results like this:
1. Am I specifying the instrumentation correctly? I'm particularly not confident about specifying the lags in level and difference equations. I would like to make sure I'm doing the right thing.
2. What if I replace the first independent variable "smei3" with "sme" which is a dummy variable? Do I need to change anything inside "iv()"? A difference of a dummy variable is obviously wrong.
3. Is there anything that you notice I'm doing wrong? I would appreciate any suggestion.
Thank you for your generous help.
Best wishes,
Taka
If the results are hard to see, here is a picture that shows the results.
Doc14.docx
I would like to ask you to teach me how to apply your xtdpdgmm correctly. I thank you in advance for your kind help. I would like to implement a system-GMM model like the following:
Code:
xtdpdgmm lpgrow smei3 labutilpcgr mfppwt rknapcgr hfcegrow l.lrgdpopc if id~=13,gmm(lpgrow labutilpcgr mfppwt rknapcgr hfcegrow lrgdpopc, lag(2 2) collapse model(diff)) gmm(lpgrow labutilpcgr mfppwt rknapcgr hfcegrow lrgdpopc, lag(1 1) diff collapse model(level)) iv(smei3,diff model(level)) two vce(cl id) small
Code:
. xtdpdgmm lpgrow smei3 labutilpcgr mfppwt rknapcgr hfcegrow l.lrgdpopc if id~=13,gmm(lpgrow labutilpcgr mfppwt rknap > cgr hfcegrow lrgdpopc, lag(2 2) collapse model(diff)) gmm(lpgrow labutilpcgr mfppwt rknapcgr hfcegrow lrgdpopc, lag > (1 1) diff collapse model(level)) iv(smei3,d model(level)) two vce(cl id) small Generalized method of moments estimation Fitting full model: Step 1 f(b) = .162683 Step 2 f(b) = .16926059 Group variable: id Number of obs = 514 Time variable: year Number of groups = 20 Moment conditions: linear = 14 Obs per group: min = 12 nonlinear = 0 avg = 25.7 total = 14 max = 28 (Std. err. adjusted for 20 clusters in id) ------------------------------------------------------------------------------ | WC-Robust lpgrow | Coefficient std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- smei3 | .0991957 .057027 1.74 0.098 -.0201631 .2185545 labutilpcgr | -.3546281 .1410527 -2.51 0.021 -.6498549 -.0594013 mfppwt | .6901644 .0872634 7.91 0.000 .5075199 .8728089 rknapcgr | .1629855 .0893485 1.82 0.084 -.024023 .3499939 hfcegrow | .0271975 .0837204 0.32 0.749 -.1480314 .2024264 | lrgdpopc | L1. | -.7435579 .2764233 -2.69 0.015 -1.322118 -.1649973 | _cons | 8.620034 3.041985 2.83 0.011 2.253086 14.98698 ------------------------------------------------------------------------------ Instruments corresponding to the linear moment conditions: 1, model(diff): L2.lpgrow L2.labutilpcgr L2.mfppwt L2.rknapcgr L2.hfcegrow L2.lrgdpopc 2, model(level): L1.D.lpgrow L1.D.labutilpcgr L1.D.mfppwt L1.D.rknapcgr L1.D.hfcegrow L1.D.lrgdpopc 3, model(level): D.smei3 4, model(level): _cons
2. What if I replace the first independent variable "smei3" with "sme" which is a dummy variable? Do I need to change anything inside "iv()"? A difference of a dummy variable is obviously wrong.
3. Is there anything that you notice I'm doing wrong? I would appreciate any suggestion.
Thank you for your generous help.
Best wishes,
Taka
If the results are hard to see, here is a picture that shows the results.
Doc14.docx
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