请问哪位高手有stata 系统GMM软件包?谢谢啊!或者那个地址可以下载啊?
另外,我做了下列建议,应该是差分GMM吧?怎么回归结果中会有一个_cons?是什么意思啊?请高手指教!谢谢!
xtabond water fdistk consum chyjg own rkmd tech ,lags(1) two | ||||||||
Arellano-Bond dynamic panel-data estimation Number of obs = 348 | ||||||||
Group variable (i): prov Number of groups = 29 | ||||||||
Wald chi2(7) = 781.10 | ||||||||
Time variable (t): year Obs per group: min = 12 | ||||||||
avg = 12 | ||||||||
max = 12 | ||||||||
Two-step results | ||||||||
------------------------------------------------------------------------------ | ||||||||
water | Coef. Std. Err. z P>|z| [95% Conf. Interval] | ||||||||
-------------+---------------------------------------------------------------- | ||||||||
water | | ||||||||
LD | .8004895 .0636296 12.58 0.000 .6757778 .9252012 | ||||||||
fdistk | | ||||||||
D1 | -.0220128 .0130889 -1.68 0.093 -.0476665 .0036409 | ||||||||
consum | | ||||||||
D1 | .1058093 .052338 2.02 0.043 .0032288 .2083898 | ||||||||
chyjg | | ||||||||
D1 | -.1178127 .0284727 -4.14 0.000 -.1736182 -.0620072 | ||||||||
own | | ||||||||
D1 | .0209078 .0202178 1.03 0.301 -.0187184 .0605341 | ||||||||
rkmd | | ||||||||
D1 | -.658155 .1375519 -4.78 0.000 -.9277518 -.3885583 | ||||||||
tech | | ||||||||
D1 | -.0297775 .0117352 -2.54 0.011 -.052778 -.006777 | ||||||||
_cons | .0119342 .0073673 1.62 0.105 -.0025055 .0263739 | ||||||||
------------------------------------------------------------------------------ | ||||||||
Warning: Arellano and Bond recommend using one-step results for | ||||||||
inference on coefficients | ||||||||
Sargan test of over-identifying restrictions: | ||||||||
chi2(77) = 26.71 Prob > chi2 = 1.0000 | ||||||||
Arellano-Bond test that average autocovariance in residuals of order 1 is 0: | ||||||||
H0: no autocorrelation z = -3.63 Pr > z = 0.0003 | ||||||||
Arellano-Bond test that average autocovariance in residuals of order 2 is 0: | ||||||||
H0: no autocorrelation z = -2.44 Pr > z = 0.0147 |