I've a problem with the Hansen test, which is clearly too high (1.000), I guess.
I suspect this is due to instrument proliferation. So I tried to limit the instruments using collapse. Also I get the same results when using only (1 2) lags for the equation in difference. Any suggestions, please.
Code:
xtabond2 gtfp_100 l(1).ltfp_rel_lev95 /// l(1).( S dettotoccrfl netai psii netae psie /// branchps rspri_stock_va totroadskms cs_14pesos) /// tau1995-tau2012 /// if cod_reg<21 , /// iv(l(1).( S dettotoccrfl netai psii netae psie /// branchps rspri_stock_va totroadskms cs_14pesos) /// tau1995-tau2012 , eq(diff)) /// iv(l(1).( S dettotoccrfl netai psii netae psie /// branchps rspri_stock_va totroadskms cs_14pesos) /// tau1995-tau2012 , eq(lev)) /// gmm(l(1).ltfp_rel_lev95 , laglimits(1 .) collapse eq(diff) ) /// gmm(l(1).ltfp_rel_lev95 , laglimits(0 1) collapse eq(lev) ) /// h(3) rob ar(3)
Code:
Dynamic panel-data estimation, one-step system GMM
------------------------------------------------------------------------------
Group variable: cod_reg Number of obs = 320
Time variable : anno Number of groups = 20
Number of instruments = 54 Obs per group: min = 16
Wald chi2(26) = 1839.21 avg = 16.00
Prob > chi2 = 0.000 max = 16
--------------------------------------------------------------------------------
| Robust
gtfp_100 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
---------------+----------------------------------------------------------------
ltfp_rel_lev95 |
L1. | -.2348444 .0606115 -3.87 0.000 -.3536407 -.1160481
|
S |
L1. | .019605 .0120456 1.63 0.104 -.0040039 .0432139
|
dettotoccrfl |
L1. | -.2225202 .1280743 -1.74 0.082 -.4735413 .0285009
|
netai |
L1. | -.0201765 .0176353 -1.14 0.253 -.0547411 .0143881
|
psii |
L1. | .0576091 .0654523 0.88 0.379 -.0706749 .1858932
|
netae |
L1. | -.0480485 .0209141 -2.30 0.022 -.0890394 -.0070575
|
psie |
L1. | -.170621 .1062258 -1.61 0.108 -.3788197 .0375778
|
branchps |
L1. | .0445189 .0261953 1.70 0.089 -.006823 .0958607
|
rspri_stock_va |
L1. | .0015889 .0008631 1.84 0.066 -.0001028 .0032806
|
totroadskms |
L1. | .0095032 .0181984 0.52 0.602 -.0261651 .0451714
|
cs_14pesos |
L1. | -.140023 .0930925 -1.50 0.133 -.322481 .0424351
|
tau1997 | .081572 .0248708 3.28 0.001 .032826 .1303179
tau1998 | .0765403 .0236921 3.23 0.001 .0301045 .122976
tau1999 | .0820527 .023021 3.56 0.000 .0369324 .127173
tau2000 | .0906023 .0229646 3.95 0.000 .0455925 .135612
tau2001 | .0773837 .0238363 3.25 0.001 .0306653 .124102
tau2002 | .0514515 .0216221 2.38 0.017 .0090731 .09383
tau2003 | .047534 .0194083 2.45 0.014 .0094945 .0855735
tau2004 | .0584287 .0162254 3.60 0.000 .0266274 .09023
tau2005 | .0508587 .0146411 3.47 0.001 .0221627 .0795548
tau2006 | .0504148 .0134201 3.76 0.000 .0241118 .0767178
tau2007 | .0464896 .0121259 3.83 0.000 .0227233 .0702559
tau2008 | .0233039 .010413 2.24 0.025 .0028949 .043713
tau2009 | -.0103899 .0071914 -1.44 0.149 -.0244849 .0037051
tau2010 | .0320077 .0055658 5.75 0.000 .021099 .0429164
tau2011 | .0195995 .0040825 4.80 0.000 .011598 .027601
_cons | -.1010425 .1680118 -0.60 0.548 -.4303397 .2282547
--------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(L.S L.dettotoccrfl L.netai L.psii L.netae L.psie L.branchps
L.rspri_stock_va L.totroadskms L.cs_14pesos tau1995 tau1996 tau1997
tau1998 tau1999 tau2000 tau2001 tau2002 tau2003 tau2004 tau2005 tau2006
tau2007 tau2008 tau2009 tau2010 tau2011 tau2012)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/17).L.ltfp_rel_lev95 collapsed
Instruments for levels equation
Standard
L.S L.dettotoccrfl L.netai L.psii L.netae L.psie L.branchps
L.rspri_stock_va L.totroadskms L.cs_14pesos tau1995 tau1996 tau1997
tau1998 tau1999 tau2000 tau2001 tau2002 tau2003 tau2004 tau2005 tau2006
tau2007 tau2008 tau2009 tau2010 tau2011 tau2012
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL(0/1).L.ltfp_rel_lev95 collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -3.21 Pr > z = 0.001
Arellano-Bond test for AR(2) in first differences: z = -0.09 Pr > z = 0.927
Arellano-Bond test for AR(3) in first differences: z = 0.27 Pr > z = 0.785
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(27) = 95.16 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(27) = 0.00 Prob > chi2 = 1.000
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(25) = 0.00 Prob > chi2 = 1.000
Difference (null H = exogenous): chi2(2) = 0.00 Prob > chi2 = 1.000
gmm(L.ltfp_rel_lev95, collapse eq(diff) lag(1 .))
Hansen test excluding group: chi2(11) = 0.00 Prob > chi2 = 1.000
Difference (null H = exogenous): chi2(16) = 0.00 Prob > chi2 = 1.000
gmm(L.ltfp_rel_lev95, collapse eq(level) lag(0 1))
Hansen test excluding group: chi2(25) = 0.00 Prob > chi2 = 1.000
Difference (null H = exogenous): chi2(2) = 0.00 Prob > chi2 = 1.000
iv(L.S L.dettotoccrfl L.netai L.psii L.netae L.psie L.branchps L.rspri_stock_va L.totroadskms L.cs_14pesos tau1995 tau1996 tau1997 tau1998 tau19
> 99 tau2000 tau2001 tau2002 tau2003 tau2004 tau2005 tau2006 tau2007 tau2008 tau2009 tau2010 tau2011 tau2012, eq(diff))
Hansen test excluding group: chi2(6) = 0.00 Prob > chi2 = 1.000
Difference (null H = exogenous): chi2(21) = -0.00 Prob > chi2 = 1.000
iv(L.S L.dettotoccrfl L.netai L.psii L.netae L.psie L.branchps L.rspri_stock_va L.totroadskms L.cs_14pesos tau1995 tau1996 tau1997 tau1998 tau19
> 99 tau2000 tau2001 tau2002 tau2003 tau2004 tau2005 tau2006 tau2007 tau2008 tau2009 tau2010 tau2011 tau2012, eq(level))
Hansen test excluding group: chi2(13) = 0.00 Prob > chi2 = 1.000
Difference (null H = exogenous): chi2(14) = 0.00 Prob > chi2 = 1.000
0 Response to xtabond2 Hansen test
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