模型:lnFDIijt = α0 + α1ln FDIijt-1 + α2 lniprjt + α3ln ima + α4 lndis + α5ln pop + α6lnex + α7lngdp +ηj+λt+εijt
被解释变量为对外直接投资,核心解释变量为知识产权保护指数(ipr),其他依次解释变量。
命令为:xtabond2 lfdi l.lfdi lipr lima ldis lpop lex lgdpp,twostep robust orthogonal gmmstyle(l.lfdi,laglimits(1 2)c) gmmstyle(lipr,laglimits(0 1)c) ivstyle(lima lpop ldis lex lgdpp)
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Group variable: id1 Number of obs = 194
Time variable : year Number of groups = 24
Number of instruments = 12 Obs per group: min = 4
Wald chi2(7) = 183.72 avg = 8.08
Prob > chi2 = 0.000 max = 10
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| Corrected
lfdi1 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lfdi1 |
L1. | .3224322 .139193 2.32 0.021 .0496189 .5952454
|
lipr | -2.046173 .7105486 -2.88 0.004 -3.438822 -.6535232
lima | 2.713465 1.128285 2.40 0.016 .5020677 4.924862
ldis | -.3985018 .3449718 -1.16 0.248 -1.074634 .2776305
lpop | .2695849 .1880322 1.43 0.152 -.0989516 .6381213
lex | .0555886 .0515167 1.08 0.281 -.0453823 .1565594
lgdpp | .2598726 .2565682 1.01 0.311 -.2429919 .7627371
_cons | 6.854446 5.23677 1.31 0.191 -3.409435 17.11833
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Instruments for orthogonal deviations equation
Standard
FOD.(lima lpop ldis lex lgdpp)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/2).L.lfdi1 collapsed
L(0/1).lipr collapsed
Instruments for levels equation
Standard
_cons
lima lpop ldis lex lgdpp
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.L.lfdi1 collapsed
DL.lipr collapsed
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Arellano-Bond test for AR(1) in first differences: z = -3.04 Pr > z = 0.002
Arellano-Bond test for AR(2) in first differences: z = 1.31 Pr > z = 0.191
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Sargan test of overid. restrictions: chi2(4) = 1.87 Prob > chi2 = 0.760
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(4) = 0.73 Prob > chi2 = 0.947
(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(2) = 0.13 Prob > chi2 = 0.935
Difference (null H = exogenous): chi2(2) = 0.60 Prob > chi2 = 0.742
gmm(L.lfdi1, collapse lag(1 2))
Hansen test excluding group: chi2(1) = 0.18 Prob > chi2 = 0.671
Difference (null H = exogenous): chi2(3) = 0.55 Prob > chi2 = 0.907
gmm(lipr, collapse lag(0 1))
Hansen test excluding group: chi2(1) = 0.05 Prob > chi2 = 0.832
Difference (null H = exogenous): chi2(3) = 0.69 Prob > chi2 = 0.876
.
end of do-file
想请问一下哪错啦,超级感谢!