Code:
. xtabond2 Y l.Y a b c ab ac coalition > l.lngdp l.lngdppercapita l.gdpgrowth l.lninflation l.govtexp l.pop14 l.pop65, /// > gmm(l.Y , lag(1 2) collapse eq(diff)) /// > iv(a b c ab ac coalition l.lngdp l.lngdpperca > pita l.gdpgrowth l.lninflation l.govtexp l.pop14 l.pop65, eq(diff)) /// > nodiffsargan twostep robust Favoring space over speed. To switch, type or click on mata: mata set matafavor speed > , perm. Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: country Number of obs = 486 Time variable : year Number of groups = 26 Number of instruments = 16 Obs per group: min = 15 Wald chi2(14) = 146.89 avg = 18.69 Prob > chi2 = 0.000 max = 20 -------------------------------------------------------------------------------- | Corrected Y | Coef. Std. Err. z P>|z| [95% Conf. Interval] ---------------+---------------------------------------------------------------- Y | L1. | .7222813 .1701339 4.25 0.000 .388825 1.055738 | a | -.2317608 .2530301 -0.92 0.360 -.7276908 .2641691 b | -.5301456 .5432221 -0.98 0.329 -1.594841 .5345502 c | -.0224109 .484336 -0.05 0.963 -.9716921 .9268703 ab | -.1367733 .3817006 -0.36 0.720 -.8848927 .611346 ac | -.0723654 .3836385 -0.19 0.850 -.8242831 .6795523 coalition | .2727919 .3676454 0.74 0.458 -.4477798 .9933636 | lngdp | L1. | -11.97239 5.726428 -2.09 0.037 -23.19598 -.7487975 | lngdppercapita | L1. | 10.03662 5.629337 1.78 0.075 -.9966812 21.06991 | gdpgrowth | L1. | -3.21324 4.289274 -0.75 0.454 -11.62006 5.193584 | lninflation | L1. | -.0736836 .0800735 -0.92 0.357 -.2306248 .0832577 | govtexp | L1. | 4.048511 4.055335 1.00 0.318 -3.8998 11.99682 | pop14 | L1. | -.1944994 .1995454 -0.97 0.330 -.5856012 .1966024 | pop65 | L1. | -.2088385 .1905127 -1.10 0.273 -.5822365 .1645594 | _cons | 41.23084 18.69118 2.21 0.027 4.596788 77.86488 -------------------------------------------------------------------------------- Instruments for first differences equation Standard D.(a b c ab ac coalition L.lngdp L.lngdppercapita L.gdpgrowth L.lninflation L.govtexp L.pop14 L.pop65) GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/2).L.Y collapsed Instruments for levels equation Standard _cons ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -2.18 Pr > z = 0.029 Arellano-Bond test for AR(2) in first differences: z = 0.61 Pr > z = 0.544 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(1) = 1.69 Prob > chi2 = 0.194 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(1) = 0.89 Prob > chi2 = 0.344 (Robust, but weakened by many instruments.) . end of do-file
0 Response to System-GMM without level equation
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