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| 开心 2022-7-28 03:36:20 |
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签到天数: 399 天 连续签到: 1 天 [LV.9]以坛为家II
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3期短面板数据,采用固定效应模型下的工具变量法,GMM回归,求问该模型是否通过了各项检验?本人初学,高分求指导
回归结果如下:
xtivreg2 VAR Date TURNOVER EBD MB AR (ii=J K I H ),fe gmm
Warning - singleton groups detected. 51 observation(s) not used.
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 578 Obs per group: min = 2
avg = 2.7
max = 3
2-Step GMM estimation
---------------------
Statistics robust to heteroskedasticity
Number of obs = 1551
F( 6, 967) = 31.65
Prob > F = 0.0000
Total (centered) SS = 2236.187738 Centered R2 = 0.1204
Total (uncentered) SS = 2236.187738 Uncentered R2 = 0.1204
Residual SS = 1966.892901 Root MSE = 1.422
------------------------------------------------------------------------------
| Robust
VAR | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ii | .0968605 .0377356 2.57 0.010 .0229 .170821
Date | -.0041233 .0003581 -11.51 0.000 -.0048252 -.0034213
TURNOVER | -.1615676 .0309984 -5.21 0.000 -.2223234 -.1008118
EBD | -.1454967 .0847532 -1.72 0.086 -.3116099 .0206165
MB | .0208306 .0299526 0.70 0.487 -.0378755 .0795367
AR | -.0015634 .0002576 -6.07 0.000 -.0020682 -.0010586
------------------------------------------------------------------------------
Anderson canon. corr. LR statistic (underidentification test): 108.093
Chi-sq(4) P-val = 0.0000
Test statistic(s) not robust
------------------------------------------------------------------------------
Cragg-Donald F statistic (weak identification test): 28.317
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 16.85
10% maximal IV relative bias 10.27
20% maximal IV relative bias 6.71
30% maximal IV relative bias 5.34
10% maximal IV size 24.58
15% maximal IV size 13.96
20% maximal IV size 10.26
25% maximal IV size 8.31
Test statistic(s) not robust
Source: Stock-Yogo (2005). Reproduced by permission.
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments): 8.584
Chi-sq(3) P-val = 0.0354
------------------------------------------------------------------------------
Instrumented: ii
Included instruments: Date TURNOVER EBD MB AR
Excluded instruments: J K I H
------------------------------------------------------------------------------
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