不好意思,前面发错了,以下面的结果为准:
xtivreg2 VAR Date vb xd EBD AR (ii =K J I H ROE MB ),fe gmm
Warning - singleton groups detected. 52 observation(s) not used.
Warning - collinearities detected
Vars dropped: xd
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 577 Obs per group: min = 2
avg = 2.7
max = 3
2-Step GMM estimation
---------------------
Statistics robust to heteroskedasticity
Number of obs = 1548
F( 5, 966) = 34.38
Prob > F = 0.0000
Total (centered) SS = 2229.130436 Centered R2 = 0.1017
Total (uncentered) SS = 2229.130436 Uncentered R2 = 0.1017
Residual SS = 2002.503433 Root MSE = 1.436
------------------------------------------------------------------------------
| Robust
VAR | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ii | .1054834 .0378495 2.79 0.005 .0312997 .179667
Date | -.0040992 .0003401 -12.05 0.000 -.0047658 -.0034325
vb | -.0668371 .0317402 -2.11 0.035 -.1290467 -.0046275
EBD | -.1703059 .0853491 -2.00 0.046 -.3375871 -.0030247
AR | -.001535 .0002584 -5.94 0.000 -.0020415 -.0010284
------------------------------------------------------------------------------
Anderson canon. corr. LR statistic (underidentification test): 110.456
Chi-sq(6) P-val = 0.0000
Test statistic(s) not robust
------------------------------------------------------------------------------
Cragg-Donald F statistic (weak identification test): 19.297
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 19.28
10% maximal IV relative bias 11.12
20% maximal IV relative bias 6.76
30% maximal IV relative bias 5.15
10% maximal IV size 29.18
15% maximal IV size 16.23
20% maximal IV size 11.72
25% maximal IV size 9.38
Test statistic(s) not robust
Source: Stock-Yogo (2005). Reproduced by permission.
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments): 9.110
Chi-sq(5) P-val = 0.1048
------------------------------------------------------------------------------
Instrumented: ii
Included instruments: Date vb EBD AR
Excluded instruments: K J I H ROE MB
Dropped collinear: xd
------------------------------------------------------------------------------