[时间序列问题] 请求指点：stata操作中弹出了一个提示是什么意思？ [推广有奖]

11楼

bear1008 发表于 2011-6-27 16:06:46

10# sungmoo
非常非常非常非常感谢您的指导！

12楼

bear1008 发表于 2011-6-27 16:26:51

10# sungmoo
高手，能帮我看看怎么分析结果吗？
Arellano-Bond test for AR(1) in first differences: z =  -3.38  Pr > z =  0.001
Arellano-Bond test for AR(2) in first differences: z = 0.20  Pr > z =  0.838
Sargan test of overid. restrictions: chi2(40) =  45.90  Prob > chi2 =  0.241
  (Not robust, but not weakened by many instruments.)

13楼

bear1008 发表于 2011-6-27 18:41:32

10# sungmoo
版主，能帮我看看分别用xtabond2 和xtdpd 哪个结果好些吗？怎么看出好不好呢？
1、xtabond2命令的结果： xtabond2 lev l.lev size pro tang ndts liqu pca inop baoliu yingyun,gmm(lev size pro tang ndts liqu pca inop baoliu yingyun,lag(2 2))  nolevel smal l
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: code_dum                      Number of obs    =    255
Time variable : year                         Number of groups =       51
Number of instruments = 50                   Obs per group: min =       5
F(10, 245) =    19.67                                     avg =    5.00
Prob > F    =    0.000                                     max =       5
------------------------------------------------------------------------------
      lev |    Coef. Std. Err.    t P>|t|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
      lev |
      L1. | .0397423 .0789673    0.50 0.615 -.1157991 .1952836
      size | .1075706 .021561    4.99 0.000    .0651019 .1500392
      pro |  -.0159616 .0170661 -0.94 0.351 -.0495766 .0176533
      tang |  -.1319296 .0572375 -2.30 0.022 -.2446699 -.0191894
      ndts | .3441457 1.034333    0.33 0.740 -1.693174 2.381466
      liqu |  -.0973343 .0179064 -5.44 0.000 -.1326045 -.0620641
      pca |  -4.587896 1.060056 -4.33 0.000 -6.675883 -2.499909
      inop | .0007705 .0005055    1.52 0.129 -.0002252 .0017663
   baoliu |  -.7476521 .1512282 -4.94 0.000 -1.045525 -.4497788
   yingyun |  -.0018036 .0006419 -2.81 0.005    -.003068 -.0005391
------------------------------------------------------------------------------
Instruments for first differences equation
  GMM-type (missing=0, separate instruments for each period unless collapsed)
L2.(lev size pro tang ndts liqu pca inop baoliu yingyun)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -3.38  Pr > z =  0.001
Arellano-Bond test for AR(2) in first differences: z = 0.20  Pr > z =  0.838
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(40) =  45.90  Prob > chi2 =  0.241
  (Not robust, but not weakened by many instruments.)

2、xtdpd命令的结果
xtdpd lev l.lev size pro tang ndts liqu pca inop baoliu yingyun, twostep dgmmiv(lev size pro tang ndts liqu pca inop baoliu yingyun, lagrange(2))
> lgmmiv(lev size pro tang ndts liqu pca inop baoliu yingyun, lag(2)) artests(2)
Dynamic panel-data estimation             Number of obs       =    306
Group variable: code_dum                   Number of groups    =       51
Time variable: year
                                          Obs per group: min =       6
                                                            avg =       6
                                                            max =       6
Number of instruments = 191             Wald chi2(10)       = 156381.22
                                          Prob > chi2          = 0.0000
Two-step results
------------------------------------------------------------------------------
      lev |    Coef. Std. Err.    z P>|z|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
      lev |
      L1. | .3898956 .014208 27.44 0.000    .3620485 .4177428
      size | .0638932 .0028806 22.18 0.000    .0582474    .069539
      pro |  -.0162189 .0025059 -6.47 0.000 -.0211304 -.0113073
      tang | .0841234 .0082696 10.17 0.000    .0679153 .1003315
      ndts |  -2.659479    .13495 -19.71 0.000 -2.923976 -2.394982
      liqu | -.063842 .0033097 -19.29 0.000 -.0703288 -.0573552
      pca |  -.4799973 .1392972 -3.45 0.001 -.7530148 -.2069798
      inop | .0015522 .0000797 19.48 0.000    .001396 .0017083
   baoliu |  -.2815143 .0191556 -14.70 0.000 -.3190586    -.24397
   yingyun |  -.0005303 .0000886 -5.99 0.000 -.0007039 -.0003567
   _cons | -.897393 .0527354 -17.02 0.000 -1.000753 -.7940334
------------------------------------------------------------------------------
Warning: gmm two-step standard errors are biased; robust standard
      errors are recommended.
Instruments for differenced equation
      GMM-type: L(2/.).lev L(2/.).size L(2/.).pro L(2/.).tang L(2/.).ndts L(2/.).liqu L(2/.).pca L(2/.).inop L(2/.).baoliu L(2/.).yingyun
Instruments for level equation
      GMM-type: L2D.lev L2D.size L2D.pro L2D.tang L2D.ndts L2D.liqu L2D.pca L2D.inop L2D.baoliu L2D.yingyun
      Standard: _cons
. estat sargan
Sargan test of overidentifying restrictions
      H0: overidentifying restrictions are valid
      chi2(180) =  40.73323
      Prob > chi2  = 1.0000
. estat abond
Arellano-Bond test for zero autocorrelation in first-differenced errors
  +-----------------------+
  |Order |  z    Prob > z|
  |------+----------------|
  | 1  |-4.0164  0.0001 |
  | 2  | 1.2848  0.1989 |
  +-----------------------+
H0: no autocorrelation
.

14楼

静静地等待秋 发表于 2014-9-30 19:43:46

楼主下面这个是输入什么命令得出的啊，谢谢！！！急用！！
Arellano-Bond test for AR(1) in first differences: z = -3.38 Pr > z = 0.001
Arellano-Bond test for AR(2) in first differences: z = 0.20 Pr > z = 0.838