原来没有加入控制变量size,回归结果为
xtabond2 npl l.npl l2.loan, gmm(l.npl loan,lag(2 5) collapse) nolevel small robust
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: bank_dum Number of obs = 328
Time variable : year Number of groups = 48
Number of instruments = 8 Obs per group: min = 0
F(2, 48) = 16.93 avg = 6.83
Prob > F = 0.000 max = 10
------------------------------------------------------------------------------
| Robust
npl | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
npl |
L1. | .9803696 .1714739 5.72 0.000 .6355982 1.325141
|
loan |
L2. | -.0167082 .0098918 -1.69 0.098 -.0365969 .0031806
------------------------------------------------------------------------------
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/5).(L.npl loan) collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -1.72 Pr > z = 0.085
Arellano-Bond test for AR(2) in first differences: z = -0.30 Pr > z = 0.763
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(6) = 2.26 Prob > chi2 = 0.895
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(6) = 5.79 Prob > chi2 = 0.447
(Robust, but weakened by many instruments.)
后来我加入了控制变量size,结果又变成了
xtabond2 npl l.npl l2.loan size, gmm(l.npl loan,lag(2 5) collapse) iv(size) nolevel small robust
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: bank_dum Number of obs = 328
Time variable : year Number of groups = 48
Number of instruments = 9 Obs per group: min = 0
F(3, 48) = 10.82 avg = 6.83
Prob > F = 0.000 max = 10
------------------------------------------------------------------------------
| Robust
npl | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
npl |
L1. | 1.018233 .1890329 5.39 0.000 .6381568 1.398309
|
loan |
L2. | -.0131397 .0101796 -1.29 0.203 -.0336071 .0073277
|
size | .3450704 .2908862 1.19 0.241 -.2397954 .9299363
Instruments for first differences equation
Standard
D.size
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/5).(L.npl loan) collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -1.76 Pr > z = 0.079
Arellano-Bond test for AR(2) in first differences: z = -0.29 Pr > z = 0.772
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(6) = 3.28 Prob > chi2 = 0.773
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(6) = 7.91 Prob > chi2 = 0.245
(Robust, but weakened by many instruments.)
这时候size和l2.loan的系数就都不显著了,而且不管我怎么调整工具变量的滞后期都没有用。我该怎么办呢,能不能帮帮我啊?
|