[求助]在stata中用xtabond2命令估计GMM时，出现“not sorted [推广有奖]

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zengxianfeng 发表于 2008-12-25 09:18:00 |AI写论文

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众位高手，本人是stata菜鸟，在用stata的xtabond2命令估计GMM面板数据的过程如下：

xtabond2 lny lnk lnl lninstitute lnimport lnexport year if year<1998, gmm(lnk lnl lninstitute lnimport lnexport) iv(yea
> r) small orthogonal artests(1)
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Number of instruments may be large relative to number of observations.

Dynamic panel-data estimation, one-step system GMM
------------------------------------------------------------------------------
Group variable: region                          Number of obs      =       560
Time variable : year                            Number of groups   =        28
Number of instruments = 502                     Obs per group: min =        20
F(6, 553)     =   2658.12                                      avg =     20.00
Prob > F      =     0.000                                      max =        20
------------------------------------------------------------------------------
         lny |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         lnk |   .6355087    .031301    20.30   0.000     .5740253    .6969921
         lnl |   .4814072   .0281808    17.08   0.000     .4260526    .5367618
lninstitute |   .1667329   .0271387     6.14   0.000     .1134253    .2200405
    lnimport |   .0876987   .0133275     6.58   0.000     .0615199    .1138775
    lnexport |   .0019433   .0116698     0.17   0.868    -.0209793    .0248659
        year |    .024268   .0034393     7.06   0.000     .0175123    .0310238
       _cons | -48.97727   6.834111    -7.17   0.000    -62.40126   -35.55327
------------------------------------------------------------------------------
Instruments for orthogonal deviations equation
Standard
    D.(year)
GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/.).(lnk lnl lninstitute lnimport lnexport)
Instruments for levels equation
Standard
    _cons
    year
GMM-type (missing=0, separate instruments for each period unless collapsed)
    D.(lnk lnl lninstitute lnimport lnexport)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =   2.50 Pr > z = 0.012
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(495) = 968.86 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)

Difference-in-Sargan tests of exogeneity of instrument subsets:
GMM instruments for levels
    Sargan test excluding group:     chi2(443) = 308.72 Prob > chi2 = 1.000
    Difference (null H = exogenous): chi2(52)   = 660.13 Prob > chi2 = 0.000
iv(year)
    Sargan test excluding group:     chi2(494) = 967.45 Prob > chi2 = 0.000
    Difference (null H = exogenous): chi2(1)    =   1.41 Prob > chi2 = 0.235

问题1：上述估计结果的可靠性如何？还存在什么问题？

问题2：当我进一步增加滞后变量时，却出现这样的提示"not sorted"，这又是什么原因？估计命令如下：

xtabond2 lny l.lny l(0/1).( lnk lnl lninstitute lnimport lnexport infra) year if year<1998, gmm(l.lny l(0/1).(lnk lnl l
> ninstitute lnimport lnexport infra)) iv(year) small orthogonal artests(1)

not sorted
r(5);

请问，出现“not sorted”是什么原因？怎么才那克服？

谢谢给位高手！！！