[面板数据求助] 请大家帮忙看看这个系统GMM的结果 [推广有奖]

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UNSW 发表于 2019-3-1 13:36:10 |AI写论文

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第一次用系统GMM方法，按部就班地按照网上的资料修改了程序，不知道跑出来的这个结果能不能用，希望大家帮忙分析指正一下哇！
475个公司的10年数据，程序是：xtabond2 lnl l.lnl lny lnk, gmm(l.lnl) iv(lny lnk) nolevel twostep robust

Dynamic panel-data estimation, two-step difference GMM
------------------------------------------------------------------------------
Group variable: stkcd                         Number of obs    =    3778
Time variable : accper                         Number of groups =    475
Number of instruments = 38                   Obs per group: min =       2
Wald chi2(3)  = 473.92                                     avg =    7.95
Prob > chi2 =    0.000                                     max =       8
------------------------------------------------------------------------------
         |             Corrected
      lnl |    Coef. Std. Err.    z P>|z|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
      lnl |
      L1. | .4895885 .0749475    6.53 0.000    .3426941 .6364829
         |
      lny | .2367237 .0429589    5.51 0.000    .1525259 .3209215
      lnk | .0941103 .0329993    2.85 0.004    .0294329 .1587877
------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
D.(lny lnk)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/9).L.lnl
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -6.11  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =  -0.32  Pr > z =  0.751
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(35) =  80.56  Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(35) =  40.18  Prob > chi2 =  0.251
  (Robust, but can be weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

Hansen test excluding group:    chi2(33) =  38.66  Prob > chi2 =  0.229
Difference (null H = exogenous): chi2(2) = 1.52  Prob > chi2 =  0.468

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