用 xtabond2 做gmm，下面例子里面写的lag (0 5)， 实际上各种组合都试过了，但是全部检验的结果都是p值为0啊。。。感觉被诅咒了，求助各位大神。
- . xtabond2 emp_growthrate patent_dum ln_age ln_asset_1 valueadd_emp ///
- > i.size i.ownership i.year ,gmm( patent_dum ln_age ln_asset_1 valueadd_emp
- > ,lag (0 5) ) ///
- > iv( i.size i.ownership i.year ) robust
- Favoring space over speed. To switch, type or click on mata: mata set matafavor
- > speed, perm.
- 1b.size dropped due to collinearity
- 0b.ownership dropped due to collinearity
- 2002b.year dropped due to collinearity
- Warning: Two-step estimated covariance matrix of moments is singular.
- Using a generalized inverse to calculate robust weighting matrix for Hansen te
- > st.
- Difference-in-Sargan/Hansen statistics may be negative.
- Dynamic panel-data estimation, one-step system GMM
- ------------------------------------------------------------------------------
- Group variable: ornr Number of obs = 3433147
- Time variable : year Number of groups = 704043
- Number of instruments = 256 Obs per group: min = 1
- Wald chi2(19) = 8593.04 avg = 4.88
- Prob > chi2 = 0.000 max = 11
- ------------------------------------------------------------------------------
- | Robust
- emp_growth~e | Coef. Std. Err. z P>|z| [95% Conf. Interval]
- -------------+----------------------------------------------------------------
- patent_dum | .0228961 .0080886 2.83 0.005 .0070428 .0387494
- ln_age | -.0345817 .0004729 -73.13 0.000 -.0355085 -.0336549
- ln_asset_1 | .0037011 .0001263 29.31 0.000 .0034536 .0039486
- valueadd_emp | -6.26e-10 4.35e-10 -1.44 0.150 -1.48e-09 2.27e-10
- |
- size |
- 2 | .01028 .0034542 2.98 0.003 .0035099 .0170502
- 3 | -.0234713 .0028847 -8.14 0.000 -.0291252 -.0178174
- |
- ownership |
- 1 | .0001364 .0009957 0.14 0.891 -.0018151 .0020879
- 2 | -.0108158 .0023752 -4.55 0.000 -.0154711 -.0061604
- 3 | -.0080397 .0033063 -2.43 0.015 -.01452 -.0015594
- |
- year |
- 2003 | -.0040965 .001036 -3.95 0.000 -.006127 -.0020661
- 2004 | .0188006 .0010887 17.27 0.000 .0166669 .0209344
- 2005 | .0050887 .0010225 4.98 0.000 .0030845 .0070928
- 2006 | .0120611 .0010274 11.74 0.000 .0100475 .0140748
- 2007 | .0209805 .0010219 20.53 0.000 .0189776 .0229834
- 2008 | .0055879 .0009944 5.62 0.000 .003639 .0075368
- 2009 | -.0061888 .0010099 -6.13 0.000 -.0081682 -.0042095
- 2010 | .0208536 .0010282 20.28 0.000 .0188384 .0228688
- 2011 | .0120111 .0010038 11.97 0.000 .0100437 .0139785
- 2012 | .0034364 .0010155 3.38 0.001 .0014461 .0054267
- |
- _cons | .0722158 .0017526 41.21 0.000 .0687808 .0756507
- ------------------------------------------------------------------------------
- Instruments for first differences equation
- Standard
- D.(1b.size 2.size 3.size 0b.ownership 1.ownership 2.ownership 3.ownership
- 2002b.year 2003.year 2004.year 2005.year 2006.year 2007.year 2008.year
- 2009.year 2010.year 2011.year 2012.year)
- GMM-type (missing=0, separate instruments for each period unless collapsed)
- L(0/5).(patent_dum ln_age ln_asset_1 valueadd_emp)
- Instruments for levels equation
- Standard
- 1b.size 2.size 3.size 0b.ownership 1.ownership 2.ownership 3.ownership
- 2002b.year 2003.year 2004.year 2005.year 2006.year 2007.year 2008.year
- 2009.year 2010.year 2011.year 2012.year
- _cons
- GMM-type (missing=0, separate instruments for each period unless collapsed)
- DL.(patent_dum ln_age ln_asset_1 valueadd_emp)
- ------------------------------------------------------------------------------
- Arellano-Bond test for AR(1) in first differences: z = -109.87 Pr > z = 0.000
- Arellano-Bond test for AR(2) in first differences: z = 41.25 Pr > z = 0.000
- ------------------------------------------------------------------------------
- Sargan test of overid. restrictions: chi2(236) =41019.12 Prob > chi2 = 0.000
- (Not robust, but not weakened by many instruments.)
- Hansen test of overid. restrictions: chi2(236) =18460.52 Prob > chi2 = 0.000
- (Robust, but weakened by many instruments.)
- Difference-in-Hansen tests of exogeneity of instrument subsets:
- GMM instruments for levels
- Hansen test excluding group: chi2(196) =14075.43 Prob > chi2 = 0.000
- Difference (null H = exogenous): chi2(40) =4385.09 Prob > chi2 = 0.000
- iv(1b.size 2.size 3.size 0b.ownership 1.ownership 2.ownership 3.ownership 2002
- > b.year 2003.year 2004.year 2005.year 2006.year 2007.year 2008.year 2009.year 2
- > 010.year 2011.year 2012.year)
- Hansen test excluding group: chi2(221) =15295.48 Prob > chi2 = 0.000
- Difference (null H = exogenous): chi2(15) =3165.04 Prob > chi2 = 0.000
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