Code:
xtabond2 generalcrime l.generalcrime proactivity feb mar apr may jun jul aug sep oct nov dec, gmm( proactivity generalcrime , lag (2 4)) iv( feb mar apr may jun jul aug sep oct nov dec) nolevel
Code:
Dynamic panel-data estimation, two-step difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 26150
Time variable : week Number of groups = 523
Number of instruments = 305 Obs per group: min = 50
Wald chi2(13) = 127.65 avg = 50.00
Prob > chi2 = 0.000 max = 50
------------------------------------------------------------------------------
| Corrected
generalcrime | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
generalcrime |
L1. | .0084245 .007643 1.10 0.270 -.0065556 .0234045
|
proactivity | .0918542 .0309783 2.97 0.003 .0311378 .1525705
feb | -.3357907 .2197143 -1.53 0.126 -.7664227 .0948414
mar | -.1039943 .2222107 -0.47 0.640 -.5395193 .3315306
apr | -.1241196 .2364084 -0.53 0.600 -.5874715 .3392323
may | .3990998 .2487457 1.60 0.109 -.0884328 .8866324
jun | .6014529 .2578449 2.33 0.020 .0960862 1.10682
jul | .6369464 .2641964 2.41 0.016 .1191309 1.154762
aug | .3615521 .2706158 1.34 0.182 -.1688452 .8919494
sep | -.0556289 .2523996 -0.22 0.826 -.5503231 .4390653
oct | -.2701021 .2545519 -1.06 0.289 -.7690146 .2288105
nov | -.7050279 .2654339 -2.66 0.008 -1.225269 -.184787
dec | -.536009 .2914149 -1.84 0.066 -1.107172 .0351537
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(feb mar apr may jun jul aug sep oct nov dec)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/4).(proactivity generalcrime)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -2.96 Pr > z = 0.003
Arellano-Bond test for AR(2) in first differences: z = -1.01 Pr > z = 0.312
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(292) = 558.93 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(292) = 289.84 Prob > chi2 = 0.525
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(feb mar apr may jun jul aug sep oct nov dec)
Hansen test excluding group: chi2(281) = 280.43 Prob > chi2 = 0.498
Difference (null H = exogenous): chi2(11) = 9.40 Prob > chi2 = 0.585
Code:
. xtabond2 generalcrime l.generalcrime l.proactivity feb mar apr may jun jul aug sep oct nov dec, gmm( proactivity generalcrime , lag (2
> 4)) iv( feb mar apr may jun jul aug sep oct nov dec) nolevel twostep robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Dynamic panel-data estimation, two-step difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 26150
Time variable : week Number of groups = 523
Number of instruments = 305 Obs per group: min = 50
Wald chi2(13) = 121.25 avg = 50.00
Prob > chi2 = 0.000 max = 50
------------------------------------------------------------------------------
| Corrected
generalcrime | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
generalcrime |
L1. | .0035523 .0066324 0.54 0.592 -.0094469 .0165516
|
proactivity |
L1. | -.0302871 .0110876 -2.73 0.006 -.0520183 -.0085559
|
feb | -.3070974 .2207157 -1.39 0.164 -.7396923 .1254975
mar | -.0884815 .2224854 -0.40 0.691 -.5245449 .3475818
apr | -.1001165 .2368536 -0.42 0.673 -.564341 .3641081
may | .3628104 .256478 1.41 0.157 -.1398773 .8654981
jun | .5504192 .2667749 2.06 0.039 .0275501 1.073288
jul | .5248709 .2752155 1.91 0.057 -.0145415 1.064283
aug | .2397443 .2874894 0.83 0.404 -.3237246 .8032131
sep | -.2070373 .2700674 -0.77 0.443 -.7363596 .322285
oct | -.446874 .2807123 -1.59 0.111 -.9970599 .103312
nov | -.907495 .2868705 -3.16 0.002 -1.469751 -.3452392
dec | -.714167 .3153677 -2.26 0.024 -1.332276 -.0960577
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(feb mar apr may jun jul aug sep oct nov dec)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/4).(proactivity generalcrime)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -2.96 Pr > z = 0.003
Arellano-Bond test for AR(2) in first differences: z = -1.34 Pr > z = 0.181
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(292) = 562.59 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(292) = 292.47 Prob > chi2 = 0.481
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(feb mar apr may jun jul aug sep oct nov dec)
Hansen test excluding group: chi2(281) = 282.66 Prob > chi2 = 0.461
Difference (null H = exogenous): chi2(11) = 9.81 Prob > chi2 = 0.548
.
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