沁水百合8908 发表于 2013-8-5 16:39
但是我看到How to Do xtabond2 An Introduction to “Difference” and “System” GMM in Stata这篇文章 ...
. xtabond2 n L.n L2.n w L.w L(0/2).(k ys) yr*, gmmstyle(L.n) ivstyle(L2.n w L.w
> L(0/2).(k ys) yr*) noleveleq nocons
Favoring space over speed. To switch, type or click on mata: mata set matafavor
> speed, perm.
yr1976 dropped due to collinearity
yr1977 dropped due to collinearity
yr1984 dropped due to collinearity
Dynamic panel-data estimation, one-step difference GMM
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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]
-------------+----------------------------------------------------------------
n |
L1. | .6862261 .1466575 4.68 0.000 .3987827 .9736696
L2. | -.0853582 .0438509 -1.95 0.052 -.1713043 .0005879
|
w |
--. | -.6078208 .0649026 -9.37 0.000 -.7350275 -.4806141
L1. | .3926237 .1077977 3.64 0.000 .1813441 .6039032
|
k |
--. | .3568456 .0365434 9.76 0.000 .2852219 .4284693
L1. | -.0580012 .0575366 -1.01 0.313 -.1707708 .0547685
L2. | -.0199475 .0410788 -0.49 0.627 -.1004604 .0605654
|
ys |
--. | .6085073 .1327679 4.58 0.000 .348287 .8687276
L1. | -.7111651 .1820286 -3.91 0.000 -1.067935 -.3543955
L2. | .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
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(L2.n w L.w k L.k L2.k ys L.ys L2.ys yr1976 yr1977 yr1978 yr1979 yr1980
yr1981 yr1982 yr1983 yr1984) GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/8).L.n
------------------------------------------------------------------------------
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(L2.n w L.w k L.k L2.k ys L.ys L2.ys yr1976 yr1977 yr1978 yr1979 yr1980 yr19
> 81 yr1982 yr1983 yr1984)
Sargan test excluding group: chi2(10) = 21.16 Prob > chi2 = 0.020
Difference (null H = exogenous): chi2(15) = 46.43 Prob > chi2 = 0.000
我按照作者的codes试了,结果是一样。
请您写出codes,得到您截图的结果。