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一阶sys-GMM模型
. xtabond2 lntotdebt L.lntotdebt L(0/1).(lnprofit lnasset lnfinafee lnsale),gmmstyle(L.lntotd
> ebt)ivstyle(L2.lntotdebt L(0/2).(lnprofit lnasset lnfinafee lnsale))robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
  Using a generalized inverse to calculate robust weighting matrix for Hansen test.
  Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
------------------------------------------------------------------------------
Group variable: i                               Number of obs      =     23792
Time variable : year                            Number of groups   =     11304
Number of instruments = 40                      Obs per group: min =         0
F(9, 11303)   =  13634.05                                      avg =      2.10
Prob > F      =     0.000                                      max =         6
------------------------------------------------------------------------------
             |               Robust
   lntotdebt |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
   lntotdebt |
         L1. |   .8127749   .0075761   107.28   0.000     .7979244    .8276253
    lnprofit |
         --. |  -.0365713   .0049212    -7.43   0.000    -.0462177   -.0269249
         L1. |  -.0165535     .00466    -3.55   0.000     -.025688    -.007419
     lnasset |
         --. |   .2516595   .0160229    15.71   0.000     .2202519    .2830671
         L1. |  -.1875781   .0150935   -12.43   0.000    -.2171641   -.1579921
   lnfinafee |
         --. |   .0798259   .0073152    10.91   0.000     .0654868    .0941649
         L1. |  -.0255605   .0074199    -3.44   0.001    -.0401049   -.0110161
      lnsale |
         --. |   .1703522    .015042    11.33   0.000     .1408672    .1998372
         L1. |  -.0594901   .0154663    -3.85   0.000    -.0898066   -.0291735
       _cons |   .1174737   .0434328     2.70   0.007     .0323379    .2026095
------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
    D.(L2.lntotdebt lnprofit L.lnprofit L2.lnprofit lnasset L.lnasset
    L2.lnasset lnfinafee L.lnfinafee L2.lnfinafee lnsale L.lnsale L2.lnsale)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/.).L.lntotdebt
Instruments for levels equation
  Standard
    _cons
    L2.lntotdebt lnprofit L.lnprofit L2.lnprofit lnasset L.lnasset L2.lnasset
    lnfinafee L.lnfinafee L2.lnfinafee lnsale L.lnsale L2.lnsale
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    D.L.lntotdebt
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -12.79  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =   2.68  Pr > z =  0.007
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(30)   =1843.27  Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(30)   = 293.75  Prob > chi2 =  0.000
  (Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
  GMM instruments for levels
    Hansen test excluding group:     chi2(24)   = 146.75  Prob > chi2 =  0.000
    Difference (null H = exogenous): chi2(6)    = 147.00  Prob > chi2 =  0.000
  gmm(L.lntotdebt, lag(1 .))
    Hansen test excluding group:     chi2(4)    =  10.05  Prob > chi2 =  0.040
    Difference (null H = exogenous): chi2(26)   = 283.69  Prob > chi2 =  0.000
  iv(L2.lntotdebt lnprofit L.lnprofit L2.lnprofit lnasset L.lnasset L2.lnasset lnfinafee L.ln
> finafee L2.lnfinafee lnsale L.lnsale L2.lnsale)
    Hansen test excluding group:     chi2(17)   =  66.18  Prob > chi2 =  0.000
    Difference (null H = exogenous): chi2(13)   = 227.57  Prob > chi2 =  0.000

二阶sys-GMM模型
. do "C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\STD0b000000.tmp"
. xtabond2 lntotdebt L.lntotdebt L(0/1).(lnprofit lnasset lnfinafee lnsale),gmmstyle(L.lntotd
> ebt)ivstyle(L2.lntotdebt L(0/2).(lnprofit lnasset lnfinafee lnsale))robust twostep small
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
  Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
  Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: i                               Number of obs      =     23792
Time variable : year                            Number of groups   =     11304
Number of instruments = 40                      Obs per group: min =         0
F(9, 11303)   =  13197.74                                      avg =      2.10
Prob > F      =     0.000                                      max =         6
------------------------------------------------------------------------------
             |              Corrected
   lntotdebt |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
   lntotdebt |
         L1. |   .8580987   .0075922   113.02   0.000     .8432166    .8729807
    lnprofit |
         --. |  -.0290653   .0052277    -5.56   0.000    -.0393125    -.018818
         L1. |  -.0100079   .0049228    -2.03   0.042    -.0196573   -.0003584
     lnasset |
         --. |   .2189423   .0178958    12.23   0.000     .1838634    .2540211
         L1. |  -.1696932   .0167577   -10.13   0.000    -.2025413   -.1368451
   lnfinafee |
         --. |   .0686537   .0077542     8.85   0.000     .0534541    .0838533
         L1. |  -.0307917    .007787    -3.95   0.000    -.0460556   -.0155279
      lnsale |
         --. |   .1547309   .0162162     9.54   0.000     .1229443    .1865175
         L1. |   -.068233   .0167725    -4.07   0.000      -.10111    -.035356
       _cons |   .0942985   .0448498     2.10   0.036     .0063851    .1822119
------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
    D.(L2.lntotdebt lnprofit L.lnprofit L2.lnprofit lnasset L.lnasset
    L2.lnasset lnfinafee L.lnfinafee L2.lnfinafee lnsale L.lnsale L2.lnsale)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/.).L.lntotdebt
Instruments for levels equation
  Standard
    _cons
    L2.lntotdebt lnprofit L.lnprofit L2.lnprofit lnasset L.lnasset L2.lnasset
    lnfinafee L.lnfinafee L2.lnfinafee lnsale L.lnsale L2.lnsale
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    D.L.lntotdebt
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -12.57  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =   2.77  Pr > z =  0.006
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(30)   =1843.27  Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(30)   = 293.75  Prob > chi2 =  0.000
  (Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
  GMM instruments for levels
    Hansen test excluding group:     chi2(24)   = 146.75  Prob > chi2 =  0.000
    Difference (null H = exogenous): chi2(6)    = 147.00  Prob > chi2 =  0.000
  gmm(L.lntotdebt, lag(1 .))
    Hansen test excluding group:     chi2(4)    =  10.05  Prob > chi2 =  0.040
    Difference (null H = exogenous): chi2(26)   = 283.69  Prob > chi2 =  0.000
  iv(L2.lntotdebt lnprofit L.lnprofit L2.lnprofit lnasset L.lnasset L2.lnasset lnfinafee L.ln
> finafee L2.lnfinafee lnsale L.lnsale L2.lnsale)
    Hansen test excluding group:     chi2(17)   =  66.18  Prob > chi2 =  0.000
    Difference (null H = exogenous): chi2(13)   = 227.57  Prob > chi2 =  0.000

这样的结果是否表明工具变量的选择有问题，是否应该更换工具变量？急急急！！！

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关键词：GMM Restrictions Instruments differences restriction matrix speed 模型

Sargan test of overid. restrictions: chi2(30)   =1843.27  Prob > chi2 =  0.000,P值越大，工具变量越好！，要更换变量