[求助]xtabond2所报告的检验统计量的含义-经管之家官网！

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. xtabond2 n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr1978-yr1983,gmm( nL1) i

> v( nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr1978-yr1983) noleveleq nocons

Favoring speed over space. To switch, type or click on mata: mata set matafavor

> space, perm.

Dynamic panel-data estimation, one-step difference GMM

------------------------------------------------------------------------------

Group variable: id Number of obs = 611

Time variable : year Number of groups = 140

Number of instruments = 41 Obs per group: min = 4

Wald chi2(16) = 1804.32 avg = 4.36

Prob > chi2 = 0.000 max = 6

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n | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

nL1 | .6862261 .1466575 4.68 0.000 .3987827 .9736696

nL2 | -.0853582 .0438509 -1.95 0.052 -.1713043 .0005879

w | -.6078208 .0649026 -9.37 0.000 -.7350275 -.4806141

wL1 | .3926237 .1077977 3.64 0.000 .1813441 .6039032

k | .3568456 .0365434 9.76 0.000 .2852219 .4284693

kL1 | -.0580012 .0575366 -1.01 0.313 -.1707708 .0547685

kL2 | -.0199475 .0410788 -0.49 0.627 -.1004604 .0605654

ys | .6085073 .1327679 4.58 0.000 .348287 .8687276

ysL1 | -.7111651 .1820286 -3.91 0.000 -1.067935 -.3543955

ysL2 | .1057969 .140974 0.75 0.453 -.170507 .3821008

yr1978 | .0077033 .0304006 0.25 0.800 -.0518808 .0672875

yr1979 | .0172578 .0278955 0.62 0.536 -.0374164 .071932

yr1980 | .0297185 .027434 1.08 0.279 -.0240511 .0834881

yr1981 | -.004071 .0279204 -0.15 0.884 -.0587941 .0506521

yr1982 | -.0193555 .0240369 -0.81 0.421 -.066467 .027756

yr1983 | -.0136171 .0210236 -0.65 0.517 -.0548227 .0275885

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Instruments for first differences equation

Standard

D.(nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr1978 yr1979 yr1980 yr1981 yr1982

yr1983)

GMM-type (missing=0, separate instruments for each period unless collapsed)

L(1/.).nL1

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Arellano-Bond test for AR(1) in first differences: z = -3.99 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = -0.55 Pr > z = 0.583

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Sargan test of overid. restrictions: chi2(25) = 67.59 Prob > chi2 = 0.000

(Not robust, but not weakened by many instruments.)

Difference-in-Sargan tests of exogeneity of instrument subsets:

iv(nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr1978 yr1979 yr1980 yr1981 yr1982 yr1983

> )

Sargan test excluding group: chi2(10) = 21.16 Prob > chi2 = 0.020

Difference (null H = exogenous): chi2(15) = 46.43 Prob > chi2 = 0.000

.请问各位大侠

Wald chi2(16) =1804.32是不是相关零假设下渐进卡方分布估计系数的联合显著性检验?

Arellano-Bond test for AR(1) in first differences: z = -3.99 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = -0.55 Pr > z = 0.583

分别是无序列相关下残差渐进标准正态分布的一阶自相关和二阶自相关检验吗?

Sargan test of overid. restrictions: chi2(25) = 67.59 Prob > chi2 = 0.000

是检验工具变量正确性零假设下渐进分布孤独识别的约束检验吗?

如果不是 那这些检验统计量如何求啊! 不知道有谁知道啊?

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