帮我看看stata差分GMM的一个命令中的工具变量

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刚开始接触stata，请问xtabond w4, pre(s4 e4 t4 f4 q4) twostep这个命令中的工具变量是不是s4 e4 t4 f4 q4的滞后一期和w4的滞后2期？
另外estat abond
Arellano-Bond test for zero autocorrelation in first-differenced errors
  +-----------------------+
  |Order |  z     Prob > z|
  |------+----------------|
  |   1  |  -.988  0.3232 |
  |   2  | 1.4083  0.1590 |
  +-----------------------+
   H0: no autocorrelation
order 1和order2都接受原假设，这样的结果可以吗？

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关键词：Stata 差分GMM 工具变量 tata GMM 工具

Basic model with two lags of dependent variable included as regressors
        . xtabond n l(0/1).w l(0/2).(k ys) yr1980-yr1984, lags(2)
        . xtabond n l(0/1).w l(0/2).(k ys) yr1980-yr1984, lags(2) vce(robust)
        . xtabond n l(0/1).w l(0/2).(k ys) yr1980-yr1984, lags(2) twostep

    Treat w and k as predetermined and include w, L.w, k, L.k, and L2.k as additional
    regressors
        . xtabond n l(0/2).ys yr1980-yr1984, lags(2) pre(w, lag(1,.)) pre(k, lag(2,.))

    Treat L.w and L2.k as endogenous and include w, L.w, k, L.k, and L2.k as additional
    regressors
        . xtabond n l(0/2).ys yr1980-yr1984, lags(2) endogenous(w, lag(1,.)) endogenous(k,
            lag(2,.))

w4的滞后一期和s4 e4 t4 f4 q4的滞后2期

少来风 发表于 2013-5-6 12:43
Basic model with two lags of dependent variable included as regressors
        . xtabond n l(0/1). ...

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