[回归分析求助] 新手求各位帮忙看看GMM估计问题，感激不尽！！！(＞﹏＜) [推广有奖]

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wonbei 发表于 2013-6-1 15:41:39 |AI写论文

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我输入的命令是：xtabond2 lnpri lnl1 bubble lnincome lnland newinterest lnCPI, gmm(lnl1 bubble) iv(lnincome lnland newinterest lnCPI) robust twostep small
问题一：我的解释变量bubble中有(Yt-1—Yt-2)/Yt-2的滞后一期和滞后两期Y同时出现的情况，那么照上述命令做GMM估计有问题吗？
问题二：lnincome lnland newinterest三个解释变量在5%显著性水平上都不显著，有没有什么较好的改进方法？（income指可支配收入 land土地价格 interest名义利率）
问题三：怎么看Sargan test，Hansen test和Arellano-Bond test的结果？
刚开始接触计量和stata，希望大家不吝赐教！！！

Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: id                            Number of obs    =    210
Time variable : year                         Number of groups =       30
Number of instruments = 66                   Obs per group: min =       7
F(6, 29)    = 1066.25                                     avg =    7.00
Prob > F    =    0.000                                     max =       7
------------------------------------------------------------------------------
         |             Corrected
   lnpri |    Coef. Std. Err.    t P>|t|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
      lnl1 | .9932269 .0665125 14.93 0.000    .8571937    1.12926
   bubble |  -.1613536 .062633 -2.58 0.015 -.2894525 -.0332547
lnincome | .0107365 .0974249    0.11 0.913 -.1885198 .2099929
   lnland | .0119812 .0172494    0.69 0.493 -.0232979 .0472602
newinterest | 1.628302 .8220475    1.98 0.057 -.0529745 3.309578
   lnCPI |  -.8616169 .2387933 -3.61 0.001 -1.350004 -.3732298
   _cons | 3.898482 1.049357    3.72 0.001    1.752307 6.044658
------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
D.(lnincome lnland newinterest lnCPI)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/8).(lnl1 bubble)
Instruments for levels equation
  Standard
lnincome lnland newinterest lnCPI
_cons
  GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(lnl1 bubble)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -2.94  Pr > z =  0.003
Arellano-Bond test for AR(2) in first differences: z = 1.56  Pr > z =  0.119
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(59) =  95.63  Prob > chi2 =  0.002
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(59) =  26.52  Prob > chi2 =  1.000
  (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:
  GMM instruments for levels
Hansen test excluding group:    chi2(46) =  24.02  Prob > chi2 =  0.997
Difference (null H = exogenous): chi2(13) = 2.50  Prob > chi2 =  0.999
  iv(lnincome lnland newinterest lnCPI)
Hansen test excluding group:    chi2(55) =  26.99  Prob > chi2 =  0.999
Difference (null H = exogenous): chi2(4) =  -0.47  Prob > chi2 =  1.000