动态面板DIF GMM结果问题 - Stata专版

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wujiandao99 发表于 2015-3-17 09:57:53 |AI写论文

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我做的回归很简单，ind=a+rat+ind(-1)+b
xtabond2 ind ind0 rat,gmm(ind0,collapse)iv(rat) noleveleq small
结果如下
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: industry                      Number of obs    =    14022
Time variable : t                            Number of groups =    114
Number of instruments = 124                   Obs per group: min =    123
F(2, 14020) =    4.28                                     avg = 123.00
Prob > F    =    0.014                                     max =    123
------------------------------------------------------------------------------
      ind |    Coef. Std. Err.    t P>|t|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
      ind0 | .0001847 .0009783    0.19 0.850 -.0017329 .0021024
      rat | .0030668 .0010548    2.91 0.004    .0009992 .0051344
------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
D.rat
  GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/123).ind0 collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -51.51  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z = 4.95  Pr > z =  0.000
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(122)  = 146.38  Prob > chi2 =  0.066
  (Not robust, but not weakened by many instruments.)

Difference-in-Sargan tests of exogeneity of instrument subsets:
  iv(rat)
Sargan test excluding group:    chi2(121)  = 111.81  Prob > chi2 =  0.713
Difference (null H = exogenous): chi2(1) =  34.57  Prob > chi2 =  0.000

这意思Sargan检验通过了，但是AR(2)没过，存在二阶自相关问题吗？
我的滞后项往后滞后2、3期也有经济学意义，当然滞后1期最好。
貌似滞后期增加后，工具变量又无效了。。。
这样是否需要使用xtdpd命令？
谢谢了！