I am trying to do a simulation of Canh, Binh, Thanh, &Schinckus (2020): https://www.sciencedirect.com/scienc...1070171930040X
I collected part of the data from sources listed in the paper and try to run two-step system GMM estimations, however, some of the results are not significant as expected.
I use FDI inwards as the dependent variable and have 8 independent variables.
This is what I did:
Code:
. xtabond2 FDII L.FDII lnEPU GDPg Inf Cap REER Trade CO2 hc, gmm (lnEPU GDPg Inf Cap REER Trade CO2 h > c, lag(2 2)) iv(i.year, equation(level)) twostep robust noconstant small orthogonal Favoring speed over space. To switch, type or click on mata: mata set matafavor space, 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 ------------------------------------------------------------------------------ Group variable: countryid Number of obs = 294 Time variable : year Number of groups = 18 Number of instruments = 272 Obs per group: min = 11 F(0, 18) = . avg = 16.33 Prob > F = . max = 17 ------------------------------------------------------------------------------ | Corrected FDII | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- FDII | L1. | .5967331 .0756997 7.88 0.000 .4376939 .7557722 | lnEPU | .109172 .8895851 0.12 0.904 -1.759777 1.978121 GDPg | .2959404 .1470744 2.01 0.059 -.0130515 .6049324 Inf | -.1722542 .1901387 -0.91 0.377 -.5717208 .2272123 Cap | .2089427 .4025101 0.52 0.610 -.6366996 1.054585 REER | -.026296 .1010408 -0.26 0.798 -.2385749 .1859829 Trade | .0215861 .0151573 1.42 0.172 -.0102583 .0534305 CO2 | -.1006967 .3959977 -0.25 0.802 -.932657 .7312637 hc | -3.601994 5.743118 -0.63 0.538 -15.66784 8.463849 ------------------------------------------------------------------------------ Instruments for orthogonal deviations equation GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(lnEPU GDPg Inf Cap REER Trade CO2 hc) Instruments for levels equation Standard 1996b.year 1997.year 1998.year 1999.year 2000.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 GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(lnEPU GDPg Inf Cap REER Trade CO2 hc) ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -1.74 Pr > z = 0.083 Arellano-Bond test for AR(2) in first differences: z = -1.68 Pr > z = 0.092 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(263) = 280.20 Prob > chi2 = 0.223 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(263) = 8.72 Prob > chi2 = 1.000 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(135) = 8.72 Prob > chi2 = 1.000 Difference (null H = exogenous): chi2(128) = -0.00 Prob > chi2 = 1.000 gmm(lnEPU GDPg Inf Cap REER Trade CO2 hc, lag(2 2)) Hansen test excluding group: chi2(7) = 11.35 Prob > chi2 = 0.124 Difference (null H = exogenous): chi2(256) = -2.63 Prob > chi2 = 1.000 iv(1996b.year 1997.year 1998.year 1999.year 2000.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, eq(level)) Hansen test excluding group: chi2(247) = 8.72 Prob > chi2 = 1.000 Difference (null H = exogenous): chi2(16) = -0.00 Prob > chi2 = 1.000
How should I do this correctly?
Thank you all in advance.
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