Code:
xtabond2 ln_NCD L.ln_NCD ln_GDP sq_ln_GDP year i.year, gmm(L.ln_NCD ln_GDP sq_ln_GDP, collapse) iv(year i.year, equation(level)) twostep robust artests(4) orthogonal small
Some journal articles still report models with the autoregressive coefficient of one, but I am unsure whether the model should be changed and if so how?
Results:
Code:
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular. Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
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Group variable: country_Num Number of obs = 2272
Time variable : year Number of groups = 142
Number of instruments = 66 Obs per group: min =16
F(21, 141) = 3748.85 avg = 16.00
Prob > F = 0.000 max = 16
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| Corrected
ln_NCD | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ln_NCD |
L1. | 1.015486 .0083677 121.36 0.000 .9989437 1.032028
|
ln_GDP | -.1577481 .0430502 -3.66 0.000 -.2428555 -.0726407
sq_ln_GDP | .0088189 .0024055 3.67 0.000 .0040634 .0135743
year | -.0078024 .003255 -2.40 0.018 -.0142372 -.0013675
|
year |
2000 | 0 (empty)
2001 | -.1132571 .0488529 -2.32 0.022 -.209836 -.0166782
2002 | -.105692 .0455994 -2.32 0.022 -.1958389 -.0155451
2003 | -.0982847 .0423466 -2.32 0.022 -.182001 -.0145683
2004 | -.0908042 .0390907 -2.32 0.022 -.1680838 -.0135246
2005 | -.0830651 .0358306 -2.32 0.022 -.1538998 -.0122304
2006 | -.075597 .0325721 -2.32 0.022 -.1399898 -.0112042
2007 | -.0682752 .0293124 -2.33 0.021 -.1262238 -.0103267
2008 | -.0605534 .0260546 -2.32 0.022 -.1120614 -.0090453
2009 | -.0524794 .0228044 -2.30 0.023 -.0975622 -.0073966
2010 | -.0450336 .019547 -2.30 0.023 -.0836767 -.0063904
2011 | -.0373474 .0162897 -2.29 0.023 -.069551 -.0051438
2012 | -.0291999 .0130376 -2.24 0.027 -.0549743 -.0034256
2013 | -.0216554 .0097808 -2.21 0.028 -.0409913 -.0023194
2014 | -.0145751 .0065174 -2.24 0.027 -.0274597 -.0016906
2015 | -.0074117 .0032589 -2.27 0.024 -.0138544 -.0009691
2016 | 0 (omitted)
|
_cons | 16.18347 6.557335 2.47 0.015 3.220066 29.14687
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Instruments for orthogonal deviations equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/16).(L.ln_NCD ln_GDP sq_ln_GDP) collapsed
Instruments for levels equation
Standard
year 2000b.year 2001.year 2002.year 2003.year 2004.year 2005.year
2006.year 2007.year 2008.year 2009.year 2010.year 2011.year 2012.year
2013.year 2014.year 2015.year 2016.year
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(L.ln_NCD ln_GDP sq_ln_GDP) collapsed
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Arellano-Bond test for AR(1) in first differences: z = 2.24 Pr > z = 0.025
Arellano-Bond test for AR(2) in first differences: z = -1.85 Pr > z = 0.065
Arellano-Bond test for AR(3) in first differences: z = -1.42 Pr > z = 0.155
Arellano-Bond test for AR(4) in first differences: z = 1.38 Pr > z = 0.168
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Sargan test of overid. restrictions: chi2(44) = 559.13 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(44) = 43.95 Prob > chi2 = 0.474
(Robust, but weakened by many instruments.)
The problem persists in the extended model:
Code:
xtabond2 ln_NCD L.ln_NCD ln_GDP sq_ln_GDP ln_the_per_cap_mean D_ln_PollutionPM25 ln_PhysicalActivity ln_HospitalBedsper1000 ln_Pop_over_65 ln_urban_pop ln_trade ln_BMI_WB Human_Capital year i.year, gmm(L.ln_NCD ln_GDP sq_ln_GDP ln_the_per_cap_mean ln_PhysicalActivity ln_HospitalBedsper1000 ln_Pop_over_65 ln_BMI_WB Human_Capital, laglimit(10 15) collapse) iv(ln_PollutionPM25 ln_urban_pop ln_trade year i.year, equation(level)) twostep robust small orthogonal artests(4)
Code:
Dynamic panel-data estimation, two-step system GMM
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Group variable: country_Num Number of obs = 2272
Time variable : year Number of groups = 142
Number of instruments = 82 Obs per group: min = 16
F(30, 141) = 6.78e+07 avg = 16.00
Prob > F = 0.000 max = 16
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| Corrected
ln_NCD | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------------------+----------------------------------------------------------------
ln_NCD |
L1. | 1.000572 .0012721 786.57 0.000 .9980569 1.003086
|
ln_GDP | -.0581613 .0205383 -2.83 0.005 -.0987641 -.0175584
sq_ln_GDP | .0035004 .0011806 2.97 0.004 .0011665 .0058343
ln_the_per_cap_mean | -.0010093 .0020293 -0.50 0.620 -.0050211 .0030024
D_ln_PollutionPM25 | -.0050512 .0041004 -1.23 0.220 -.0131574 .003055
ln_PhysicalActivity | .0018993 .0081889 0.23 0.817 -.0142896 .0180883
ln_HospitalBedsper1000 | .000579 .005011 0.12 0.908 -.0093273 .0104853
ln_Pop_over_65 | -.0193053 .0042337 -4.56 0.000 -.0276751 -.0109355
ln_urban_pop | .0056669 .0050194 1.13 0.261 -.0042561 .0155899
ln_trade | -.0003482 .0022376 -0.16 0.877 -.0047717 .0040754
ln_BMI_WB | -.0288796 .0719827 -0.40 0.689 -.1711844 .1134252
Human_Capital | .0000605 .0009432 0.06 0.949 -.0018041 .0019252
year | .000123 .0001329 0.93 0.356 -.0001397 .0003857
|
year |
2000 | 0 (empty)
2001 | -.0002431 .0020365 -0.12 0.905 -.0042691 .0037828
2002 | -.0001769 .0018859 -0.09 0.925 -.0039052 .0035515
2003 | -.0003033 .001754 -0.17 0.863 -.0037708 .0031642
2004 | -.0003709 .0016119 -0.23 0.818 -.0035576 .0028157
2005 | -.0001796 .0014797 -0.12 0.904 -.0031049 .0027457
2006 | -.0001765 .0013895 -0.13 0.899 -.0029234 .0025705
2007 | -.0003638 .0012888 -0.28 0.778 -.0029117 .002184
2008 | -.0001412 .0012165 -0.12 0.908 -.0025461 .0022637
2009 | .0002143 .0009889 0.22 0.829 -.0017407 .0021694
2010 | .0002028 .0008768 0.23 0.817 -.0015306 .0019363
2011 | .0004399 .000819 0.54 0.592 -.0011793 .0020591
2012 | .000613 .0006914 0.89 0.377 -.0007538 .0019798
2013 | .0005916 .0005102 1.16 0.248 -.000417 .0016003
2014 | .0001537 .0003613 0.43 0.671 -.0005605 .0008679
2015 | .0004369 .0004986 0.88 0.382 -.0005488 .0014225
2016 | 0 (omitted)
|
_cons | 0 (omitted)
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Instruments for orthogonal deviations equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(10/15).(L.ln_NCD ln_GDP sq_ln_GDP ln_the_per_cap_mean
ln_PhysicalActivity ln_HospitalBedsper1000 ln_Pop_over_65 ln_BMI_WB
Human_Capital) collapsed
Instruments for levels equation
Standard
ln_PollutionPM25 ln_urban_pop ln_trade year 2000b.year 2001.year 2002.year
2003.year 2004.year 2005.year 2006.year 2007.year 2008.year 2009.year
2010.year 2011.year 2012.year 2013.year 2014.year 2015.year 2016.year
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL9.(L.ln_NCD ln_GDP sq_ln_GDP ln_the_per_cap_mean ln_PhysicalActivity
ln_HospitalBedsper1000 ln_Pop_over_65 ln_BMI_WB Human_Capital) collapsed
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Arellano-Bond test for AR(1) in first differences: z = 2.06 Pr > z = 0.040
Arellano-Bond test for AR(2) in first differences: z = -1.88 Pr > z = 0.060
Arellano-Bond test for AR(3) in first differences: z = -1.45 Pr > z = 0.147
Arellano-Bond test for AR(4) in first differences: z = 1.33 Pr > z = 0.182
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Sargan test of overid. restrictions: chi2(51) = 72.17 Prob > chi2 = 0.027
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(51) = 50.24 Prob > chi2 = 0.504
(Robust, but weakened by many instruments.)
0 Response to System GMM- Autoregressive Coefficient Greater Than One
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