Currently I'm making a thesis to see how political stability affect economic growth. I've already read Roodman and Sebastian Stata Conference Power Point. I just want to make sure how to interpret this clue from the paper into my stata code.
All explanatory variables were treated as endogenous. Their two period lagged values
were used as instruments in the first-difference equations and their once lagged first differences
were used in the levels equation
were used as instruments in the first-difference equations and their once lagged first differences
were used in the levels equation
Code:
xtabond2 Y l.Y X1 X2 X3 X4 X5 X6 X7 i.year, /// gmm(l.Y X1,lag(2 2) eq(level)) ivstyle(Z1 i.year, eq(level)) /// twostep robust small
Code:
Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: cn_dum Number of obs = 244 Time variable : year Number of groups = 28 Number of instruments = 23 Obs per group: min = 5 F(16, 27) = 771184.44 avg = 8.71 Prob > F = 0.000 max = 9 ------------------------------------------------------------------------------ | Corrected Y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- Y | L1. | .9404939 .0293483 32.05 0.000 .8802762 1.000712 | X1 | .2708204 .2023615 1.34 0.192 -.1443912 .686032 X2 | .0406301 .0325983 1.25 0.223 -.026256 .1075162 X3 | .0280611 .0497435 0.56 0.577 -.0740041 .1301264 X4 | .0033058 .0012955 2.55 0.017 .0006477 .0059639 X5 | .0007148 .0012643 0.57 0.576 -.0018794 .003309 X6 | .0972347 .102 0.95 0.349 -.1120519 .3065213 X7 | -.0008346 .0007057 -1.18 0.247 -.0022826 .0006134 | year | 2010 | .0231396 .0131364 1.76 0.089 -.0038141 .0500934 2011 | .0140576 .0176286 0.80 0.432 -.0221133 .0502285 2012 | .0203068 .0194618 1.04 0.306 -.0196255 .060239 2013 | .0235703 .0198685 1.19 0.246 -.0171964 .064337 2014 | .0053819 .0084616 0.64 0.530 -.0119798 .0227437 2015 | .0081878 .006552 1.25 0.222 -.0052558 .0216314 2017 | -.0037178 .0054981 -0.68 0.505 -.0149989 .0075633 2018 | -.0040531 .0083803 -0.48 0.633 -.021248 .0131418 | _cons | -.6609487 .6290191 -1.05 0.303 -1.951589 .6296918 ------------------------------------------------------------------------------ Instruments for levels equation Standard Z1 2009b.year 2010.year 2011.year 2012.year 2013.year 2014.year 2015.year 2016.year 2017.year 2018.year _cons GMM-type (missing=0, separate instruments for each period unless collapsed) DL2.(L.Y X5) ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -2.15 Pr > z = 0.032 Arellano-Bond test for AR(2) in first differences: z = 0.60 Pr > z = 0.548 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(6) = 6.18 Prob > chi2 = 0.403 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(6) = 3.19 Prob > chi2 = 0.784 (Robust, but weakened by many instruments.)
Their two period lagged values were used as instruments in the first-difference equations
gmm(l.Y X5,lag(2 2) eq(level))
And for this statement
Their once lagged first differences were used in the levels equation
xtabond2 Y l.Y X1 X2 X3 X4 X5 X6 X7 i.year
Have a nice day
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