Hello Stata community,
I am writing to you because I would like you to help me with the xtabond2 command for creating one-step and two-step GMM models. I have read the manual and I am trying to run the code, however, something seems to be wrong. You will understand better by looking at what I show below.
This is the code I put ant this is Stata outcome:
This is the list of the variables I use. They are classified as predetermined, exogenous, endogenous (So that you can help me when I have to specify the instruments among the options ):
Exogenous variables: RealGDPGrowth; deltaFTSEMIB; L1_RealGDPGrowth L2_RealGDPGrowth;
Predetermined variables: ROAA; Net_Interest_Margin; CosttoIncome; AvgEquityAvgAssets
Endogenous variables: deltabankloans, deltaNCLDeposits.
The variables are specified precisely the way they are specified on Stata.
Could you kindly help me write the code taking into account that I want to estimate both one-step and two-step and taking into account also that I would also like to contain the number of instruments used?
2) Would you also advise me to introduce temporal dummies for the years ( the dataset runs from 2011 to 2021)?
If I wanted to use robust error standards for heteroscedasticity and autocorrelation is there an option similar to those for the xtreg command that specifies the cluster or robust option?
Thank you very much to everyone who would like to help me. It is really important for me since it is my thesis research.
I thank everyone in advance.
I wish you all the best.
Salvatore
I am writing to you because I would like you to help me with the xtabond2 command for creating one-step and two-step GMM models. I have read the manual and I am trying to run the code, however, something seems to be wrong. You will understand better by looking at what I show below.
This is the code I put ant this is Stata outcome:
Code:
. xtabond2 NPL_perc L1_NPL_perc NetInterestMargin AvgEquityAvgAssets CosttoIncome ROAA deltabankloans deltaFTSEMIB RealGDPGrowth deltaNC > LDeposits L1_RealGDPGrowth L2_RealGDPGrowth, twostep gmmstyle(deltabankloans NetInterestMargin CosttoIncome ROAA) robust small Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. repeated time values within panel stata(): 3598 Stata returned error xtabond2_mata(): - function returned error <istmt>: - function returned error r(3598);
Exogenous variables: RealGDPGrowth; deltaFTSEMIB; L1_RealGDPGrowth L2_RealGDPGrowth;
Predetermined variables: ROAA; Net_Interest_Margin; CosttoIncome; AvgEquityAvgAssets
Endogenous variables: deltabankloans, deltaNCLDeposits.
The variables are specified precisely the way they are specified on Stata.
Could you kindly help me write the code taking into account that I want to estimate both one-step and two-step and taking into account also that I would also like to contain the number of instruments used?
2) Would you also advise me to introduce temporal dummies for the years ( the dataset runs from 2011 to 2021)?
If I wanted to use robust error standards for heteroscedasticity and autocorrelation is there an option similar to those for the xtreg command that specifies the cluster or robust option?
Thank you very much to everyone who would like to help me. It is really important for me since it is my thesis research.
I thank everyone in advance.
I wish you all the best.
Salvatore
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