GMM回归结果分析 - Stata专版

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mahaiyun 发表于 2012-4-10 16:08:06 |AI写论文

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求助系统GMM回归结果分析，如何判断AR(1)、AR(2)以及sargan的值和对应的P值，跪求指点啊！
xtdpdsys lnpht cpi lnwt i, two

System dynamic panel-data estimation       Number of obs       =    456
Group variable: city                      Number of groups    =       35
Time variable: year
                                          Obs per group: min =       12
                                                            avg =  13.02857
                                                            max =       14

Number of instruments = 108             Wald chi2(4)       =  65190.06
                                          Prob > chi2          = 0.0000
Two-step results
------------------------------------------------------------------------------
   lnpht |    Coef. Std. Err.    z P>|z|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
   lnpht |
      L1. | .9001535 .0253975 35.44 0.000    .8503754 .9499317
      cpi |  -.0220798 .0010381 -21.27 0.000 -.0241143 -.0200452
      lnwt | .3006556 .0190837 15.75 0.000    .2632522    .338059
         i | .0133394 .0009566 13.94 0.000    .0114644 .0152144
   _cons |  -.0832641 .1343672 -0.62 0.535 -.3466189 .1800908
------------------------------------------------------------------------------
Warning: gmm two-step standard errors are biased; robust standard
      errors are recommended.
Instruments for differenced equation
      GMM-type: L(2/.).lnpht
      Standard: D.cpi D.lnwt D.i
Instruments for level equation
      GMM-type: LD.lnpht
      Standard: _cons