xtabond2做GMM,然而提示我lntfp dropped due to collinearity,lntfp是被解释变量,所以得到不到估计结果,毕业论文用的,比较急,求大神指点!附上命令和执行结果。
. xtabond2 lntfp lntfp L(0/1).lntfp lntransport lninformation lnenergy lntertiar
> y lnfdi lntrade lngovern lnhuman,gmm(lntfp,lag(1 2)) gmm(lntransport lninforma
> tion lnenergy,lag(0 1)) iv(lntertiary lnfdi lntrade lngovern lnhuman) nolevel
> twostep robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor
> speed, perm.
lntfp dropped due to collinearity
Warning: Number of instruments may be large relative to number of observations.
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 difference GMM
------------------------------------------------------------------------------
Group variable: province Number of obs = 338
Time variable : year Number of groups = 30
Number of instruments = 149 Obs per group: min = 1
Wald chi2(10) = 0.00 avg = 11.27
Prob > chi2 = 1.000 max = 18
-------------------------------------------------------------------------------
| Corrected
lntfp | Coef. Std. Err. z P>|z| [95% Conf. Interval]
--------------+----------------------------------------------------------------
lntfp |
--. | 0 (omitted)
L1. | 0 (omitted)
|
lntransport | 0 (omitted)
lninformation | 0 (omitted)
lnenergy | 0 (omitted)
lntertiary | 0 (omitted)
lnfdi | 0 (omitted)
lntrade | 0 (omitted)
lngovern | 0 (omitted)
lnhuman | 0 (omitted)
-------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(lntertiary lnfdi lntrade lngovern lnhuman)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(0/1).(lntransport lninformation lnenergy)
L(1/2).lntfp
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -2.06 Pr > z = 0.040
Arellano-Bond test for AR(2) in first differences: z = -2.78 Pr > z = 0.005
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(139) = 541.33 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(139) = 0.00 Prob > chi2 = 1.000
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
gmm(lntfp, lag(1 2))
Hansen test excluding group: chi2(103) = 0.00 Prob > chi2 = 1.000
Difference (null H = exogenous): chi2(36) = 0.00 Prob > chi2 = 1.000
gmm(lntransport lninformation lnenergy, lag(0 1))
Hansen test excluding group: chi2(31) = 0.00 Prob > chi2 = 1.000
Difference (null H = exogenous): chi2(108) = 0.00 Prob > chi2 = 1.000
iv(lntertiary lnfdi lntrade lngovern lnhuman)
Hansen test excluding group: chi2(134) = 0.00 Prob > chi2 = 1.000
Difference (null H = exogenous): chi2(5) = 0.00 Prob > chi2 = 1.000