Dear Statalisters,
I am trying to run a couple of models using the Hausman test and GMM model. In my models the credit risk index is used as a dependent variables and I have a lot of control variables which are accounting ratios including interaction variables. For the sake of the research I have added additional dummy variables. In particular, I have added country and year dummy variables. However, for some reason when I added both dummies the year dummy variables are omitted from the regressions. In addition for the hausman test I am getting an error when performing
.
Please see below the results from stata for the hausman test:
Please see below the results from stata for the GMM model:
Can you please advise what is the reason of this collinearity of the y dummy variables and why the hausman test is omitting them. Is there any way to fix this? I tried to use
command but it still doesn't work.
I would really appreciate your help if you have any recommendations or comments.
Best Regards,
Petko Bachvarov
I am trying to run a couple of models using the Hausman test and GMM model. In my models the credit risk index is used as a dependent variables and I have a lot of control variables which are accounting ratios including interaction variables. For the sake of the research I have added additional dummy variables. In particular, I have added country and year dummy variables. However, for some reason when I added both dummies the year dummy variables are omitted from the regressions. In addition for the hausman test I am getting an error when performing
Code:
hausman fe re
Please see below the results from stata for the hausman test:
Code:
xtreg llrgl official capital restrict pm ownership_concentration ownership_government ownership_foreign officialgo capitalgo restrictgo pmgo insitution cir deposit_asset netloantotalassets otherearningassets incomediversity size tier1 fundingragility luqidasset gdp_growth inflation islamic_d crisis_d d_iraq d_bahrain d_syrianarabrepublic d_palestinianterritories d_oman d_tunisia d_yemen d_saudiarabia d_jordan d_kuwait d_iran d_unitedarabemirates d_qatar d_lebanon d_egypt d_morocco d_libya d_algeria d_israel y2005 y2006 y2007 y2008 y2009 y2010 y2011 y2012 y2013 y2014 y2015 y2016 y2017 y2018,fe
note: d_libya omitted because of collinearity
note: y2005 omitted because of collinearity
note: y2006 omitted because of collinearity
note: y2007 omitted because of collinearity
note: y2008 omitted because of collinearity
note: y2009 omitted because of collinearity
note: y2010 omitted because of collinearity
note: y2011 omitted because of collinearity
note: y2012 omitted because of collinearity
note: y2013 omitted because of collinearity
note: y2014 omitted because of collinearity
note: y2015 omitted because of collinearity
note: y2016 omitted because of collinearity
note: y2017 omitted because of collinearity
note: y2018 omitted because of collinearity
Fixed-effects (within) regression Number of obs = 3123
Group variable: y Number of groups = 14
R-sq: within = 0.2390 Obs per group: min = 222
between = 0.4194 avg = 223.1
overall = 0.2495 max = 225
F(43,3066) = 22.39
corr(u_i, Xb) = 0.0873 Prob > F = 0.0000
------------------------------------------------------------------------------
llrgl | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
official | .0038839 .0011618 3.34 0.001 .0016059 .006162
capital | .0017966 .002141 0.84 0.401 -.0024014 .0059946
restrict | -.000398 .0011191 -0.36 0.722 -.0025922 .0017963
pm | -.0031331 .0017067 -1.84 0.066 -.0064795 .0002133
ownership~on | -.015646 .006095 -2.57 0.010 -.0275967 -.0036952
ownership_~t | .0091731 .0147464 0.62 0.534 -.0197407 .0380868
ownership~gn | .0069704 .0069392 1.00 0.315 -.0066354 .0205763
officialgo | .0117919 .0040388 2.92 0.004 .0038728 .019711
capitalgo | -.0184831 .0150556 -1.23 0.220 -.0480032 .0110371
restrictgo | -.0144018 .0102774 -1.40 0.161 -.034553 .0057494
pmgo | .0081386 .0156964 0.52 0.604 -.0226379 .0389151
insitution | -.0129137 .0059143 -2.18 0.029 -.0245101 -.0013174
cir | .0007281 .0001694 4.30 0.000 .0003959 .0010602
deposit_as~t | -.0173811 .0076586 -2.27 0.023 -.0323976 -.0023645
netloantot~s | .0182248 .0085225 2.14 0.033 .0015143 .0349353
otherearni~s | .0119137 .0081389 1.46 0.143 -.0040447 .027872
incomedive~y | .0053881 .0029405 1.83 0.067 -.0003775 .0111537
size | .0023331 .0007904 2.95 0.003 .0007833 .0038829
tier1 | .057377 .0116199 4.94 0.000 .0345933 .0801606
fundingrag~y | -.0207795 .0105469 -1.97 0.049 -.0414593 -.0000998
luqidasset | .074278 .0117199 6.34 0.000 .0512984 .0972576
gdp_growth | -.1989706 .0536171 -3.71 0.000 -.3040997 -.0938415
inflation | .0282101 .0329776 0.86 0.392 -.0364504 .0928706
islamic_d | -.0001455 .0043465 -0.03 0.973 -.0086678 .0083767
crisis_d | -.0338002 .0118988 -2.84 0.005 -.0571306 -.0104699
d_iraq | -.0048665 .0380815 -0.13 0.898 -.0795343 .0698013
d_bahrain | .0186222 .0375909 0.50 0.620 -.0550836 .0923281
d_syrianar~c | .124066 .0371815 3.34 0.001 .0511629 .1969692
d_palestin~s | -.0407704 .0385034 -1.06 0.290 -.1162654 .0347247
d_oman | -.0125223 .0383842 -0.33 0.744 -.0877837 .0627391
d_tunisia | .0202414 .0370801 0.55 0.585 -.0524629 .0929457
d_yemen | .1516515 .0394347 3.85 0.000 .0743303 .2289727
d_saudiara~a | -.0186832 .0370288 -0.50 0.614 -.0912869 .0539205
d_jordan | .0036143 .0373798 0.10 0.923 -.0696777 .0769063
d_kuwait | .0099159 .0378479 0.26 0.793 -.0642939 .0841258
d_iran | .0047275 .0369763 0.13 0.898 -.0677734 .0772284
d_unitedar~s | .0301234 .0373613 0.81 0.420 -.0431322 .1033791
d_qatar | .0018074 .0381207 0.05 0.962 -.0729373 .0765521
d_lebanon | -.0097472 .0371587 -0.26 0.793 -.0826056 .0631111
d_egypt | .0297313 .0364685 0.82 0.415 -.0417738 .1012364
d_morocco | .0069515 .037545 0.19 0.853 -.0666645 .0805674
d_libya | (omitted)
d_algeria | -.0164023 .036954 -0.44 0.657 -.0888594 .0560549
d_israel | -.0048745 .0386857 -0.13 0.900 -.080727 .0709779
y2005 | (omitted)
y2006 | (omitted)
y2007 | (omitted)
y2008 | (omitted)
y2009 | (omitted)
y2010 | (omitted)
y2011 | (omitted)
y2012 | (omitted)
y2013 | (omitted)
y2014 | (omitted)
y2015 | (omitted)
y2016 | (omitted)
y2017 | (omitted)
y2018 | (omitted)
_cons | .005008 .036791 0.14 0.892 -.0671296 .0771455
-------------+----------------------------------------------------------------
sigma_u | .02898305
sigma_e | .08719826
rho | .09948621 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(13, 3066) = -0.00 Prob > F = 1.0000
Code:
Note: the rank of the differenced variance matrix (39) does not equal the number of coefficients being tested (43); be sure this is what you expect, or there may be problems computing the test.
Examine the output of your estimators for anything unexpected and possibly consider scaling your variables so that the coefficients are on a similar scale.
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fe re Difference S.E.
-------------+----------------------------------------------------------------
official | .0038839 .0038839 8.44e-16 4.00e-10
capital | .0017966 .0017966 -2.32e-16 .
restrict | -.000398 -.000398 -2.30e-16 .
pm | -.0031331 -.0031331 -5.79e-16 1.14e-09
ownership~on | -.015646 -.015646 2.05e-16 4.94e-10
ownership_~t | .0091731 .0091731 8.21e-15 .
ownership~gn | .0069704 .0069704 -3.91e-16 1.46e-09
officialgo | .0117919 .0117919 -7.74e-15 .
capitalgo | -.0184831 -.0184831 2.17e-14 1.15e-08
restrictgo | -.0144018 -.0144018 2.74e-14 .
pmgo | .0081386 .0081386 -4.00e-14 .
insitution | -.0129137 -.0129137 -3.24e-16 2.44e-09
cir | .0007281 .0007281 8.67e-18 7.72e-12
deposit_as~t | -.0173811 -.0173811 -4.50e-15 2.62e-09
netloantot~s | .0182248 .0182248 2.24e-15 1.23e-09
otherearni~s | .0119137 .0119137 -4.34e-17 1.27e-09
incomedive~y | .0053881 .0053881 -1.08e-16 4.20e-10
size | .0023331 .0023331 7.98e-17 1.18e-10
tier1 | .057377 .057377 3.96e-15 1.54e-09
fundingrag~y | -.0207795 -.0207795 1.12e-15 .
luqidasset | .074278 .074278 4.12e-15 1.13e-09
gdp_growth | -.1989706 -.1989706 -4.97e-15 7.06e-09
inflation | .0282101 .0282101 -1.88e-15 4.01e-09
islamic_d | -.0001455 -.0001455 -6.55e-16 3.73e-10
crisis_d | -.0338002 -.0338002 1.53e-15 6.16e-10
d_iraq | -.0048665 -.0048665 -8.98e-14 1.02e-07
d_bahrain | .0186222 .0186222 -9.13e-14 1.06e-07
d_syrianar~c | .124066 .124066 -9.34e-14 1.03e-07
d_palestin~s | -.0407704 -.0407704 -8.91e-14 1.03e-07
d_oman | -.0125223 -.0125223 -8.84e-14 1.08e-07
d_tunisia | .0202414 .0202414 -8.95e-14 1.06e-07
d_yemen | .1516515 .1516515 -9.02e-14 9.97e-08
d_saudiara~a | -.0186832 -.0186832 -9.16e-14 1.04e-07
d_jordan | .0036143 .0036143 -9.16e-14 1.07e-07
d_kuwait | .0099159 .0099159 -9.11e-14 1.07e-07
d_iran | .0047275 .0047275 -8.97e-14 1.01e-07
d_unitedar~s | .0301234 .0301234 -8.95e-14 1.07e-07
d_qatar | .0018074 .0018074 -8.97e-14 1.08e-07
d_lebanon | -.0097472 -.0097472 -9.09e-14 1.05e-07
d_egypt | .0297313 .0297313 -8.95e-14 1.03e-07
d_morocco | .0069515 .0069515 -8.74e-14 1.06e-07
d_algeria | -.0164023 -.0164023 -9.35e-14 1.03e-07
d_israel | -.0048745 -.0048745 -8.81e-14 1.09e-07
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(39) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= -0.00 chi2<0 ==> model fitted on these
data fails to meet the asymptotic
assumptions of the Hausman test;
see suest for a generalized test
Code:
. xtdpdsys llrgl L(0/2).(official capital restrict pm ownership_concentration ownership_government ownership_foreign officialoc capitaloc restrictoc pmoc insitution cir deposit_asset netloantotalassets otherearningassets incomediversity size tier1 fundingragility luqidasset gdp_growth inflation) islamic_d d_iraq d_bahrain d_syrianarabrepublic d_palestinianterritories d_oman d_tunisia d_yemen d_saudiarabia d_jordan d_kuwait d_iran d_unitedarabemirates d_qatar d_lebanon d_egypt d_morocco d_libya d_algeria d_israel y2005 y2006 y2007 y2008 y2009 y2010 y2011 y2012 y2013 y2014 y2015 y2016 y2017 y2018, lags(3) maxldep(1) level(95.0) artests(3) vce(robust)
note: d_libya dropped from div() because of collinearity
note: y2005 dropped from div() because of collinearity
note: y2006 dropped from div() because of collinearity
note: y2007 dropped from div() because of collinearity
note: y2008 dropped from div() because of collinearity
note: y2009 dropped from div() because of collinearity
note: y2010 dropped from div() because of collinearity
note: y2011 dropped from div() because of collinearity
note: y2012 dropped from div() because of collinearity
note: y2013 dropped from div() because of collinearity
note: y2014 dropped from div() because of collinearity
note: y2015 dropped from div() because of collinearity
note: y2016 dropped from div() because of collinearity
note: y2017 dropped from div() because of collinearity
note: y2018 dropped from div() because of collinearity
note: d_libya dropped because of collinearity
note: y2018 dropped because of collinearity
System dynamic panel-data estimation Number of obs = 3002
Group variable: y Number of groups = 14
Time variable: banks1
Obs per group: min = 212
avg = 214.4286
max = 222
Number of instruments = 510 Wald chi2(13) = 44.58
Prob > chi2 = 0.0000
One-step results
------------------------------------------------------------------------------
| Robust
llrgl | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
llrgl |
L1. | -.0720103 .0134389 -5.36 0.000 -.0983501 -.0456704
L2. | -.07831 .0182692 -4.29 0.000 -.114117 -.042503
L3. | -.0687702 .024946 -2.76 0.006 -.1176636 -.0198769
|
official |
--. | .0065155 .0012069 5.40 0.000 .0041501 .0088809
L1. | -.0002886 .0006123 -0.47 0.637 -.0014887 .0009116
L2. | .0027929 .0010561 2.64 0.008 .0007231 .0048628
|
capital |
--. | .0038683 .0030165 1.28 0.200 -.002044 .0097805
L1. | -.0049698 .0019284 -2.58 0.010 -.0087494 -.0011903
L2. | -.0062805 .0019119 -3.28 0.001 -.0100279 -.0025332
|
restrict |
--. | -.0011405 .0009409 -1.21 0.225 -.0029846 .0007036
L1. | .0032487 .0011625 2.79 0.005 .0009701 .0055272
L2. | .0006031 .0018838 0.32 0.749 -.003089 .0042952
|
pm |
--. | -.0081911 .0031125 -2.63 0.008 -.0142916 -.0020907
L1. | -.0002275 .0010763 -0.21 0.833 -.002337 .001882
L2. | .0036995 .0020319 1.82 0.069 -.000283 .007682
|
ownership~on |
--. | -.0365876 .0092236 -3.97 0.000 -.0546656 -.0185096
L1. | -.0434792 .0091653 -4.74 0.000 -.061443 -.0255155
L2. | -.0291278 .0061178 -4.76 0.000 -.0411185 -.017137
|
ownership_~t |
--. | .0048043 .0149779 0.32 0.748 -.0245517 .0341604
L1. | .0260584 .0062811 4.15 0.000 .0137477 .0383691
L2. | .0133432 .0132522 1.01 0.314 -.0126305 .039317
|
ownership~gn |
--. | .0177407 .0058556 3.03 0.002 .006264 .0292174
L1. | .0319297 .0054232 5.89 0.000 .0213004 .042559
L2. | .0290427 .0071238 4.08 0.000 .0150804 .0430051
|
officialoc |
--. | -.0011751 .0023378 -0.50 0.615 -.005757 .0034069
L1. | -.0030297 .002214 -1.37 0.171 -.0073691 .0013097
L2. | -.0045838 .003761 -1.22 0.223 -.0119552 .0027877
|
capitaloc |
--. | -.0153738 .0054804 -2.81 0.005 -.0261151 -.0046325
L1. | .0090006 .0032483 2.77 0.006 .0026341 .0153671
L2. | .0132169 .0047842 2.76 0.006 .0038401 .0225937
|
restrictoc |
--. | .0029544 .0017102 1.73 0.084 -.0003975 .0063062
L1. | .0027091 .002037 1.33 0.184 -.0012834 .0067016
L2. | -.0012103 .0039326 -0.31 0.758 -.0089181 .0064975
|
pmoc |
--. | .0156747 .0045994 3.41 0.001 .00666 .0246893
L1. | -.0034071 .0016834 -2.02 0.043 -.0067065 -.0001078
L2. | -.0021397 .00477 -0.45 0.654 -.0114888 .0072094
|
insitution |
--. | -.0211662 .0208455 -1.02 0.310 -.0620226 .0196902
L1. | .0119093 .0035016 3.40 0.001 .0050463 .0187722
L2. | .0052585 .0027133 1.94 0.053 -.0000594 .0105764
|
cir |
--. | .0009334 .00044 2.12 0.034 .000071 .0017958
L1. | .0001617 .0004034 0.40 0.689 -.000629 .0009523
L2. | .0032874 .0015368 2.14 0.032 .0002754 .0062995
|
deposit_as~t |
--. | -.0246839 .0154901 -1.59 0.111 -.055044 .0056762
L1. | .0022668 .0079698 0.28 0.776 -.0133537 .0178874
L2. | .0298863 .0085744 3.49 0.000 .0130808 .0466917
|
netloantot~s |
--. | .001794 .0172069 0.10 0.917 -.031931 .0355189
L1. | -.0373464 .0074955 -4.98 0.000 -.0520373 -.0226554
L2. | -.0422985 .0073345 -5.77 0.000 -.0566739 -.0279231
|
otherearni~s |
--. | .0167225 .012556 1.33 0.183 -.0078869 .0413318
L1. | .0122556 .006932 1.77 0.077 -.0013309 .0258422
L2. | .0180018 .007668 2.35 0.019 .0029728 .0330309
|
incomedive~y |
--. | .004903 .0062479 0.78 0.433 -.0073427 .0171486
L1. | .0030614 .0028427 1.08 0.282 -.0025102 .008633
L2. | .0048744 .002613 1.87 0.062 -.000247 .0099958
|
size |
--. | .0053278 .0013465 3.96 0.000 .0026887 .007967
L1. | -.0001408 .0011165 -0.13 0.900 -.0023292 .0020475
L2. | -.0024609 .0008979 -2.74 0.006 -.0042208 -.000701
|
tier1 |
--. | .0557879 .0399342 1.40 0.162 -.0224816 .1340575
L1. | .0089834 .0094663 0.95 0.343 -.0095703 .027537
L2. | -.0081272 .012323 -0.66 0.510 -.0322798 .0160254
|
fundingrag~y |
--. | -.0137474 .0202517 -0.68 0.497 -.0534401 .0259453
L1. | .013207 .007402 1.78 0.074 -.0013007 .0277148
L2. | -.0438212 .0148157 -2.96 0.003 -.0728594 -.014783
|
luqidasset |
--. | .063275 .0210067 3.01 0.003 .0221026 .1044474
L1. | -.0185627 .0088667 -2.09 0.036 -.0359411 -.0011842
L2. | -.0228082 .0121122 -1.88 0.060 -.0465476 .0009313
|
gdp_growth |
--. | -.1616009 .0655264 -2.47 0.014 -.2900304 -.0331715
L1. | -.068083 .0405274 -1.68 0.093 -.1475153 .0113492
L2. | .0375714 .0295712 1.27 0.204 -.0203872 .0955299
|
inflation |
--. | .0621679 .0416688 1.49 0.136 -.0195013 .1438372
L1. | .0034605 .0201256 0.17 0.863 -.0359849 .042906
L2. | -.0002403 .0192849 -0.01 0.990 -.0380379 .0375574
|
islamic_d | -.0088367 .0065511 -1.35 0.177 -.0216766 .0040032
d_iraq | -.0327112 .0312407 -1.05 0.295 -.0939418 .0285193
d_bahrain | -.0197094 .0341569 -0.58 0.564 -.0866557 .0472369
d_syrianar~c | .1092054 .0347429 3.14 0.002 .0411106 .1773003
d_palestin~s | -.084552 .0333312 -2.54 0.011 -.1498801 -.019224
d_oman | -.0345785 .0403136 -0.86 0.391 -.1135917 .0444347
d_tunisia | -.0261018 .0286541 -0.91 0.362 -.0822629 .0300592
d_yemen | .1522827 .044021 3.46 0.001 .0660032 .2385623
d_saudiara~a | -.052151 .0282122 -1.85 0.065 -.1074458 .0031439
d_jordan | -.0510955 .0364478 -1.40 0.161 -.1225318 .0203408
d_kuwait | -.0289475 .0391319 -0.74 0.459 -.1056447 .0477496
d_iran | -.0526926 .0225709 -2.33 0.020 -.0969308 -.0084544
d_unitedar~s | -.0067234 .0446717 -0.15 0.880 -.0942782 .0808315
d_qatar | -.0256242 .0423957 -0.60 0.546 -.1087184 .0574699
d_lebanon | -.0507059 .0278181 -1.82 0.068 -.1052285 .0038167
d_egypt | -.0154882 .0171722 -0.90 0.367 -.049145 .0181687
d_morocco | -.0321215 .0265507 -1.21 0.226 -.0841599 .019917
d_algeria | -.0541153 .0227641 -2.38 0.017 -.098732 -.0094985
d_israel | -.0374811 .0492382 -0.76 0.447 -.1339861 .059024
y2005 | -.2519929 .168552 -1.50 0.135 -.5823487 .0783629
y2006 | .2225337 .3511054 0.63 0.526 -.4656203 .9106877
y2007 | -.5279423 .5005273 -1.05 0.292 -1.508958 .4530732
y2008 | .0713399 .1432226 0.50 0.618 -.2093712 .3520511
y2009 | -.1282115 .0722088 -1.78 0.076 -.269738 .0133151
y2010 | -.0649722 .0404767 -1.61 0.108 -.144305 .0143606
y2011 | -.0113741 .0357232 -0.32 0.750 -.0813903 .058642
y2012 | .0532066 .0593346 0.90 0.370 -.0630871 .1695003
y2013 | .016194 .0294777 0.55 0.583 -.0415812 .0739692
y2014 | -.0936169 .1024164 -0.91 0.361 -.2943495 .1071156
y2015 | .16353 .1270816 1.29 0.198 -.0855453 .4126053
y2016 | .0290089 .0293962 0.99 0.324 -.0286066 .0866244
y2017 | -.0045228 .0340795 -0.13 0.894 -.0713174 .0622719
_cons | .1022204 .0505126 2.02 0.043 .0032176 .2012233
------------------------------------------------------------------------------
Instruments for differenced equation
GMM-type: L(2/2).llrgl
Standard: D.official LD.official L2D.official D.capital LD.capital L2D.capital D.restrict LD.restrict L2D.restrict D.pm LD.pm L2D.pm D.ownership_concentration LD.ownership_concentration
L2D.ownership_concentration D.ownership_government LD.ownership_government L2D.ownership_government D.ownership_foreign LD.ownership_foreign L2D.ownership_foreign D.officialoc
LD.officialoc L2D.officialoc D.capitaloc LD.capitaloc L2D.capitaloc D.restrictoc LD.restrictoc L2D.restrictoc D.pmoc LD.pmoc L2D.pmoc D.insitution LD.insitution L2D.insitution
D.cir LD.cir L2D.cir D.deposit_asset LD.deposit_asset L2D.deposit_asset D.netloantotalassets LD.netloantotalassets L2D.netloantotalassets D.otherearningassets
LD.otherearningassets L2D.otherearningassets D.incomediversity LD.incomediversity L2D.incomediversity D.size LD.size L2D.size D.tier1 LD.tier1 L2D.tier1 D.fundingragility
LD.fundingragility L2D.fundingragility D.luqidasset LD.luqidasset L2D.luqidasset D.gdp_growth LD.gdp_growth L2D.gdp_growth D.inflation LD.inflation L2D.inflation D.islamic_d
D.d_iraq D.d_bahrain D.d_syrianarabrepublic D.d_palestinianterritories D.d_oman D.d_tunisia D.d_yemen D.d_saudiarabia D.d_jordan D.d_kuwait D.d_iran D.d_unitedarabemirates
D.d_qatar D.d_lebanon D.d_egypt D.d_morocco D.d_algeria D.d_israel
Instruments for level equation
GMM-type: LD.llrgl
Standard: _cons
. estat abond
artests not computed for one-step system estimator with vce(gmm)
Arellano-Bond test for zero autocorrelation in first-differenced errors
+-----------------------+
|Order | z Prob > z|
|------+----------------|
| 1 |-3.1031 0.0019 |
| 2 | .83236 0.4052 |
| 3 | .77904 0.4360 |
+-----------------------+
Code:
hausman fe re, sigmaless
I would really appreciate your help if you have any recommendations or comments.
Best Regards,
Petko Bachvarov
Comment