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
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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
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| 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
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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)
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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
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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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