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Dear Stata community,
Hello, i am currently studying how to run system gmm with xtabond2.
For that function, i have read 'Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. The stata journal, 9(1), 86-136' several times.
But, there are some problems which can't be relaxed with that paper.
Here are my questions.
1. Does my model suffering instrument proliferation problem?
As i wanted to run system gmm, i typed codes as below,
(My data contain 10-years panel data of 229 groups)
Code:
xtabond2 lcarbon L.lcarbon lseni losq loqu lGRDPp lGRDPpsq lei i.Year, gmm((lcarbon lseni losq loqu lGRDPp lGRDPpsq lei), lag(2 4) equation(diff)) iv(dylcarbon i.Year, equation(level)) twostep robust
The reason why i typed all the variables into gmm is following the advice from the paper i refered to.
(Ordinarily, put every regressor into the instrument matrix Z, in some form, on page 128)
(And i think all my variables are not strictly exogenous also)
Here's my result table.
As you see, Result of hansen test is 0.341. But i am concerned about the number of instrument variable.
Is it okay to report my result and no IV proliferation problem?
(When i used 'collapse' option, i faced sigificant AR(2) result and unsignificant result of Hansen test.)
2. The number of observations on the result is different from the one of original observation. Is it okay?
As you can on my result, the number of observations is 1,832(229*8) and it is different from 2,290 in my original dataset.
I think it is due to the variable 'dylcarbon' which means lagged-difference variable(y_t-1 - y_t-2) and exogenous for the level equation.
Is it okay to report a result containing different observation due to lagged-difference variable?
3. For robustness check, what should i do more?
I am planning to do robustness check of my result.
For it, i've read some research papers, and they show robustness of their result with coefficient of POLS, FE. (if the result of system gmm is within the range of these coeficient, it is appropriate to use system gmm)
And, some of them show results with 'collapsed' option. But in my model, i think it doesn't work due to unsignificant result of Hansen test.
One thing that shows different results is using a robust regression but i cannot understand how to make this table in Stata. Does anybody know how to do it?
(Source: Wang et al. (2019). The population structural transition effect on rising per capita CO2 emissions: evidence from China. Climate policy, 19(10), 1250-1269.)
Do i have to adjust the number of instrument manually? If so, how many?
Kind Regards,
Sangwon
Dear Stata community,
Hello, i am currently studying how to run system gmm with xtabond2.
For that function, i have read 'Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. The stata journal, 9(1), 86-136' several times.
But, there are some problems which can't be relaxed with that paper.
Here are my questions.
1. Does my model suffering instrument proliferation problem?
As i wanted to run system gmm, i typed codes as below,
(My data contain 10-years panel data of 229 groups)
Code:
xtabond2 lcarbon L.lcarbon lseni losq loqu lGRDPp lGRDPpsq lei i.Year, gmm((lcarbon lseni losq loqu lGRDPp lGRDPpsq lei), lag(2 4) equation(diff)) iv(dylcarbon i.Year, equation(level)) twostep robust
The reason why i typed all the variables into gmm is following the advice from the paper i refered to.
(Ordinarily, put every regressor into the instrument matrix Z, in some form, on page 128)
(And i think all my variables are not strictly exogenous also)
Here's my result table.
As you see, Result of hansen test is 0.341. But i am concerned about the number of instrument variable.
Is it okay to report my result and no IV proliferation problem?
(When i used 'collapse' option, i faced sigificant AR(2) result and unsignificant result of Hansen test.)
2. The number of observations on the result is different from the one of original observation. Is it okay?
As you can on my result, the number of observations is 1,832(229*8) and it is different from 2,290 in my original dataset.
I think it is due to the variable 'dylcarbon' which means lagged-difference variable(y_t-1 - y_t-2) and exogenous for the level equation.
Is it okay to report a result containing different observation due to lagged-difference variable?
3. For robustness check, what should i do more?
I am planning to do robustness check of my result.
For it, i've read some research papers, and they show robustness of their result with coefficient of POLS, FE. (if the result of system gmm is within the range of these coeficient, it is appropriate to use system gmm)
And, some of them show results with 'collapsed' option. But in my model, i think it doesn't work due to unsignificant result of Hansen test.
One thing that shows different results is using a robust regression but i cannot understand how to make this table in Stata. Does anybody know how to do it?
(Source: Wang et al. (2019). The population structural transition effect on rising per capita CO2 emissions: evidence from China. Climate policy, 19(10), 1250-1269.)
Do i have to adjust the number of instrument manually? If so, how many?
Kind Regards,
Sangwon
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