Dear Statalist Users,
My data is yearly data, T= 14 and N of obs=1581. I applied system-GMM models. I look for the significant value for f1 f2 f3 independent variables. The model is okay with AR(1) / AR (2). However, Hansen's test is 0.742.
Do you think the value of Hansen`s test is good, or should it be between 0.10 and 0.25? or how can I reduce Hansen`s value?
Thank you very much for your response in advance. I will really appreciate it.
My data is yearly data, T= 14 and N of obs=1581. I applied system-GMM models. I look for the significant value for f1 f2 f3 independent variables. The model is okay with AR(1) / AR (2). However, Hansen's test is 0.742.
Do you think the value of Hansen`s test is good, or should it be between 0.10 and 0.25? or how can I reduce Hansen`s value?
Thank you very much for your response in advance. I will really appreciate it.
HTML Code:
xtabond2 ex f1 f2 f3 bavr btr indrc bs auf sac csr bmt rdln talog tq, gmm(ex f1 f2 f3 bavr btr indrc bs auf sac csr bmt rdln talog tq, lag(3 3) e(d)) nol r
HTML Code:
dynamic panel-data estimation, one-step difference GMM
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Group variable: crossid Number of obs = 1581
Time variable : years Number of groups = 188
Number of instruments = 133 Obs per group: min = 2
Wald chi2(0) = . avg = 8.41
Prob > chi2 = . max = 10
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| Robust
ex | Coefficient std. err. z P>|z| [95% conf. interval] -------------+----------------------------------------------------------------
f1 | 15.73734 7.891386 1.99 0.046 .2705105 31.20417
f2 | 27.28736 8.396263 3.25 0.001 10.83098 43.74373
f3 | 29.17059 9.157907 3.19 0.001 11.22143 47.11976
bavr | 1.805155 1.04957 1.72 0.085 -.2519635 3.862274
btr | -1.384958 .925116 -1.50 0.134 -3.198153 .4282355
indrc | .0647552 .2652759 0.24 0.807 -.4551761 .5846865
bs | 1.216797 1.347676 0.90 0.367 -1.4246 3.858193
auf | .2106164 1.967128 0.11 0.915 -3.644884 4.066117
sac | -1.357372 2.494254 -0.54 0.586 -6.24602 3.531275
csr | 24.65035 10.23499 2.41 0.016 4.590141 44.71056
bmt | .3753462 .3361123 1.12 0.264 -.2834217 1.034114
rdln | -7.005356 6.416698 -1.09 0.275 -19.58185 5.571141
talog | 20.44368 8.788257 2.33 0.020 3.219009 37.66834
tq | .8301833 1.301757 0.64 0.524 -1.721214 3.381581 ------------------------------------------------------------------------------
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L3.(ex f1 f2 f3 bavr btr indrc bs auf sac csr bmt rdln talog tq)
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Arellano-Bond test for AR(1) in first differences: z = -4.54 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -1.32 Pr > z = 0.187
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Sargan test of overid. restrictions: chi2(119) = 295.20 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(119) = 108.63 Prob > chi2 = 0.742
(Robust, but weakened by many instruments.)
