Hi, is my command for xtabond2 correct?
N=966, n=69, T=14 years
Independent variable: WOB
2 dependent variables: ROA, TQ
Control variables: BS, FS, FA
N=966, n=69, T=14 years
Independent variable: WOB
2 dependent variables: ROA, TQ
Control variables: BS, FS, FA
Code:
xtset COMPANY YEAR, yearly
Code:
xtsum WOB ROA TQ BS FS FA Variable | Mean Std. Dev. Min Max | Observations -----------------+--------------------------------------------+---------------- WOB overall | .1495199 .1073334 0 .6 | N = 966 between | .0772878 0 .3298424 | n = 69 within | .0750168 -.0692114 .4505403 | T = 14 | | ROA overall | .0673593 .1032169 -1.104439 .6541691 | N = 966 between | .0603 -.0711783 .2470477 | n = 69 within | .0840633 -1.048663 .6061372 | T = 14 | | TQ overall | 3.073908 2.173385 .5880593 26.99235 | N = 966 between | 1.494371 1.214629 8.949094 | n = 69 within | 1.587621 -3.830402 21.11716 | T = 14 | | BS overall | 9.257764 2.182079 3 18 | N = 966 between | 1.880398 4.714286 15.14286 | n = 69 within | 1.128364 4.114907 14.40062 | T = 14 | | FS overall | 8.414718 1.936693 3.070422 13.58957 | N = 966 between | 1.862711 5.032185 13.16478 | n = 69 within | .5725632 6.335153 10.44355 | T = 14 | | FA overall | 3.138765 .5719432 .6931472 4.85203 | N = 966 between | .5307901 1.992805 4.799363 | n = 69 within | .2217574 1.839107 3.85401 | T = 14
Code:
xtabond2 ROA L.ROA WOB BS FS FA YEAR*, gmm(L.ROA, collapse) iv(WOB BS FS FA YEAR*, equation(level)) nodiffsargan twostep robust orthogonal small 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. Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: COMPANY Number of obs = 897 Time variable : YEAR Number of groups = 69 Number of instruments = 19 Obs per group: min = 13 F(6, 68) = 7.88 avg = 13.00 Prob > F = 0.000 max = 13 ------------------------------------------------------------------------------ | Corrected ROA | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- ROA | L1. | .3128335 .0703953 4.44 0.000 .172362 .4533051 | WOB | .0455575 .043481 1.05 0.298 -.0412074 .1323224 BS | -.0079905 .0025715 -3.11 0.003 -.0131219 -.0028591 FS | .0090684 .0032495 2.79 0.007 .0025842 .0155526 FA | .0054749 .0072533 0.75 0.453 -.0089989 .0199487 YEAR | -.0015865 .0011235 -1.41 0.162 -.0038284 .0006554 _cons | 3.211222 2.233996 1.44 0.155 -1.246648 7.669092 ------------------------------------------------------------------------------ Instruments for orthogonal deviations equation GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/13).L.ROA collapsed Instruments for levels equation Standard WOB BS FS FA YEAR _cons GMM-type (missing=0, separate instruments for each period unless collapsed) D.L.ROA collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -2.72 Pr > z = 0.006 Arellano-Bond test for AR(2) in first differences: z = 1.24 Pr > z = 0.215 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(12) = 33.19 Prob > chi2 = 0.001 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(12) = 15.79 Prob > chi2 = 0.201 (Robust, but weakened by many instruments.)
Comment