I have a balanced panel for 93 countries, 2000-2024 period (few years obviously are predictions) for some variables, but 2000-2018 for other variables including my dependent variable. it is not a huge sample for GMM , but i apply it (just to try it. in a more perfect world I should have larger N and smaller T). These are my results.
Code:
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Number of instruments may be large relative to number of observations.
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: country3 Number of obs = 1763
Time variable : year Number of groups = 93
Number of instruments = 98 Obs per group: min = 18
F(30, 92) = 1243.86 avg = 18.96
Prob > F = 0.000 max = 19
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| Corrected
lny | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ly |
L1. | .374036 .0687893 5.44 0.000 .2374146 .5106574
|
lng | .6740826 .1040717 6.48 0.000 .4673872 .880778
eu | -.3168764 .1618267 -1.96 0.053 -.6382782 .0045253
O... | .007962 .0034658 2.30 0.024 .0010786 .0148454
lne | .0054246 .0267454 0.20 0.840 -.0476942 .0585433
|
year |
2000 | 0 (empty)
2001 | -3.293952 .8267903 -3.98 0.000 -4.936029 -1.651875
2002 | -3.275765 .8331387 -3.93 0.000 -4.930451 -1.62108
2003 | -3.051059 .8255846 -3.70 0.000 -4.690741 -1.411377
2004 | -2.963923 .8386126 -3.53 0.001 -4.62948 -1.298366
2005 | -2.991701 .8578211 -3.49 0.001 -4.695408 -1.287995
2006 | -2.742058 .8313055 -3.30 0.001 -4.393103 -1.091014
2007 | -2.619339 .8606872 -3.04 0.003 -4.328738 -.9099403
2008 | -2.739219 .8337378 -3.29 0.001 -4.395095 -1.083344
2009 | -3.107684 .8435374 -3.68 0.000 -4.783022 -1.432346
2010 | -2.925138 .8636608 -3.39 0.001 -4.640443 -1.209834
2011 | -2.81268 .8808837 -3.19 0.002 -4.562191 -1.063169
2012 | -2.915922 .8721009 -3.34 0.001 -4.64799 -1.183854
2013 | -3.02399 .8874551 -3.41 0.001 -4.786553 -1.261428
2014 | -3.044528 .8826193 -3.45 0.001 -4.797486 -1.29157
2015 | -3.103196 .8773961 -3.54 0.001 -4.84578 -1.360611
2016 | -3.004841 .8713689 -3.45 0.001 -4.735455 -1.274228
2017 | -3.010357 .8898926 -3.38 0.001 -4.777761 -1.242954
2018 | -3.065278 .8937723 -3.43 0.001 -4.840387 -1.290169
2019 | -3.582186 .8513228 -4.21 0.000 -5.272986 -1.891385
2020 | 0 (omitted)
2021 | 0 (omitted)
2022 | 0 (omitted)
2023 | 0 (omitted)
2024 | 0 (omitted)
|
_cons | 0 (omitted)
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Instruments for first differences equation
Standard
D.(O eu lne 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 2017.year 2018.year
2019.year 2020.year 2021.year 2022.year 2023.year 2024.year)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/3).lng
L(1/3).L.lny collapsed
Instruments for levels equation
Standard
open3 eu lnexc 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 2017.year 2018.year
2019.year 2020.year 2021.year 2022.year 2023.year 2024.year
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.lng
D.L.lny collapsed
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Arellano-Bond test for AR(1) in first differences: z = -3.60 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 1.61 Pr > z = 0.108
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Sargan test of overid. restrictions: chi2(67) = 152.25 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(67) = 81.44 Prob > chi2 = 0.110
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(47) = 59.47 Prob > chi2 = 0.105
Difference (null H = exogenous): chi2(20) = 21.97 Prob > chi2 = 0.342
gmm(L.lnfdi, collapse lag(1 3))
Hansen test excluding group: chi2(63) = 75.13 Prob > chi2 = 0.141
Difference (null H = exogenous): chi2(4) = 6.31 Prob > chi2 = 0.177
iv(O eu lne 2000b.year 2001.year 2002.year 2003.year 2004.year 2005.year 2006.year 2007.ye ar 2008.year 2009.year 2010.year 2011.year 2012.year 2013.year 2014.year 2015.year 2016.year 2017.year 2018.year 2019.year 2020.year 2021.year 2022.year 2023.year 2024.year)
Hansen test excluding group: chi2(46) = 63.23 Prob > chi2 = 0.047
Difference (null H = exogenous): chi2(21) = 18.21 Prob > chi2 = 0.636
forecast works with both time-series and panel datasets. time-series datasets may not contain any gaps, and panel datasets must be strongly balanced.
Code:
estimates store spec1 //first step
forecast create spec1forecast, replace //second step
Forecast model spec1forecast started
forecast estimates spec1 //3rd step
forecast will use the default type of prediction for xtabond2. Verify this is appropriate;
see xtabond2 postestimation. Use the predict() option with forecast estimates to override
the default.
Added estimation results from xtabond2.
Forecast model spec1forecast now contains 1 endogenous variable.
forecast solve, prefix(f_) begin(year(2000)) end (year(2024)) //step
begin(year(2019)) out of range
Time variable year runs from 2000 through 2024.
r(459);Does anyone have experience with foresting with panel?
Thanks!
Reference:
Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. The stata journal, 9(1), 86-136.
Baltagi, B. H. (2008). Forecasting with panel data. Journal of forecasting, 27(2), 153-173.
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