Dear Stata User,
I have a panel data analysis between 2008 and 2022 years. I used the System GMM model for analysis. The dependent variable is (ex).
I think the results of the model are also fit.
AR(1) and Ar(2) is okay. Hansen`s test (0.19) okay. Could you tell me if you see any problem with the model? Because I am not sure about it.
Thank you very much in advance for your response. I appreciate that.
Best wishes
I have a panel data analysis between 2008 and 2022 years. I used the System GMM model for analysis. The dependent variable is (ex).
I think the results of the model are also fit.
AR(1) and Ar(2) is okay. Hansen`s test (0.19) okay. Could you tell me if you see any problem with the model? Because I am not sure about it.
Thank you very much in advance for your response. I appreciate that.
Best wishes
HTML Code:
xtabond2 ex wob bavr btr indrc bs auf sac csr bmt rdln talog tq, gmm(wob bavr btr indrc bs auf sac csr bmt rdln talog tq, lag(1 2) collapse) robust orthogonal twostep
HTML Code:
Dynamic panel-data estimation, two-step system GMM
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Group variable: crossid Number of obs = 1770
Time variable : years Number of groups = 188
Number of instruments = 37 Obs per group: min = 3
Wald chi2(12) = 9341.78 avg = 9.41
Prob > chi2 = 0.000 max = 11
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| Corrected
cei | Coefficient std. err. z P>|z| [95% conf. interval]
-------------+----------------------------------------------------------------
wob | .3771748 .0982458 3.84 0.000 .1846166 .5697329
bavr | .2089602 .5193622 0.40 0.687 -.808971 1.226891
btr | .0970739 .4587655 0.21 0.832 -.8020901 .9962378
indrc | -.2255193 .1233171 -1.83 0.067 -.4672164 .0161778
bs | .5835204 .6068696 0.96 0.336 -.6059221 1.772963
auf | 3.435697 1.485873 2.31 0.021 .5234405 6.347954
sac | -.8838593 .8992438 -0.98 0.326 -2.646345 .8786261
csr | -3.519179 4.520961 -0.78 0.436 -12.3801 5.341741
bmt | .2662514 .1848985 1.44 0.150 -.096143 .6286457
rdln | .5176718 1.595406 0.32 0.746 -2.609267 3.644611
talog | 7.066177 2.520429 2.80 0.005 2.126227 12.00613
tq | .7725724 .6852059 1.13 0.260 -.5704065 2.115551
_cons | 45.06354 34.8455 1.29 0.196 -23.23238 113.3595
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Instruments for orthogonal deviations equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/2).(wob bavr btr indrc bs auf sac csr bmt rdln talog tq) collapsed
Instruments for levels equation
Standard
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(wob bavr btr indrc bs auf sac csr bmt rdln talog tq) collapsed
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Arellano-Bond test for AR(1) in first differences: z = -4.00 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -1.01 Pr > z = 0.313
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Sargan test of overid. restrictions: chi2(24) = 56.20 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(24) = 29.83 Prob > chi2 = 0.190
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(12) = 16.85 Prob > chi2 = 0.155
Difference (null H = exogenous): chi2(12) = 12.98 Prob > chi2 = 0.370
