[统计软件与数据分析] STATA做系统GMM结果没有通过显著性检验 [推广有奖]

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秋天果实飘香 发表于 2015-6-5 20:59:54 |只看作者 |坛友微信交流群|倒序 |AI写论文

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System dynamic panel-data estimation       Number of obs       =    224
Group variable: city                      Number of groups    =       16
Time variable: year
                                          Obs per group: min =       14
                                                            avg =       14
                                                            max =       14

Number of instruments = 215             Wald chi2(10)       = 2142.55
                                          Prob > chi2          = 0.0000
Two-step results
------------------------------------------------------------------------------
         |             WC-Robust
   lnsec |    Coef. Std. Err.    z P>|z|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
   lnsec |
      L1. | .9273619 5.972058    0.16 0.877 -10.77766 12.63238
         |
      amaf |
      --. |  -.4941918 114.2049 -0.00 0.997 -224.3317 223.3433
      L1. | .3834578 377.0842    0.00 0.999    -738.688 739.4549
         |
   amaf2 |
      --. |    .49642 114.9244    0.00 0.997 -224.7513 225.7442
      L1. |  -.1886733 258.5407 -0.00 0.999 -506.9191 506.5417
         |
      coa |
      --. | .4718087 13.22009    0.04 0.972    -25.4391 26.38272
      L1. |  -.0042875 4.022997 -0.00 0.999 -7.889218 7.880643
         |
      open | .3114346 185.0849    0.00 0.999 -362.4483 363.0712
      humc | .0001439    .01511    0.01 0.992 -.0294711 .0297589
      inve |  -.1567505 27.88469 -0.01 0.996 -54.80974 54.49624
   _cons | .8697691 32.14589    0.03 0.978 -62.13502 63.87456
------------------------------------------------------------------------------
Instruments for differenced equation
      GMM-type: L(2/4).lnsec L(2/5).L.amaf L(2/5).L.amaf2 L(2/5).L.coa
      Standard: D.open D.humc D.inve
Instruments for level equation
      GMM-type: LD.lnsec L2D.amaf L2D.amaf2 L2D.coa
      Standard: _cons
如上图所示回归系数都不能通过显著性检验，个人觉得可能是命令语句写错了？
命令语句如下：
xtdpdsys lnsec open humc inve, lags(1) maxldep(3) endogenous(amaf,lag(1,4)) endogenous(amaf2,lag(1,4)) endogenous(coa,lag(1,4)) twostep vce(robust)