大家好,使用面板模型GMM命令能解决内生性问题吗?例如得到以下结果
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* Spatial Panel Autoregressive Generalized Method of Moments (SPGMM)
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im2 = rd + b1
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Sample Size = 360 | Cross Sections Number = 30
Wald Test = 561.0742 | P-Value > Chi2(2) = 0.0000
F-Test = 280.5371 | P-Value > F(2 , 328) = 0.0000
(Buse 1973) R2 = 0.9462 | Raw Moments R2 = 0.9576
(Buse 1973) R2 Adj = 0.9411 | Raw Moments R2 Adj = 0.9536
Root MSE (Sigma) = 1.3769e+08 | Log Likelihood Function = -7240.6440
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- R2h= 0.6125 R2h Adj= 0.5759 F-Test = 282.16 P-Value > F(2 , 328) 0.0000
- R2v= 0.4187 R2v Adj= 0.3638 F-Test = 128.59 P-Value > F(2 , 328) 0.0000
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im2 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
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im2 |
rd | .002901 .0001704 17.02 0.000 .0025657 .0032362
b1 | 1.73e+07 7257701 2.38 0.018 2986331 3.15e+07
_cons | -2.04e+08 1.40e+08 -1.46 0.145 -4.79e+08 7.06e+07
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* Panel Model Selection Diagnostic Criteria
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- Log Likelihood Function LLF = -7240.6440
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- Akaike Information Criterion (1974) AIC = 1.7563e+16
- Akaike Information Criterion (1973) Log AIC = 37.4046
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- Schwarz Criterion (1978) SC = 1.8141e+16
- Schwarz Criterion (1978) Log SC = 37.4370
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- Amemiya Prediction Criterion (1969) FPE = 1.9116e+16
- Hannan-Quinn Criterion (1979) HQ = 1.7791e+16
- Rice Criterion (1984) Rice = 1.7566e+16
- Shibata Criterion (1981) Shibata = 1.7561e+16
- Craven-Wahba Generalized Cross Validation (1979) GCV = 1.7565e+16
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*** Spatial Panel Aautocorrelation Tests
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Ho: Error has No Spatial AutoCorrelation
Ha: Error has Spatial AutoCorrelation
- GLOBAL Moran MI = 0.1822 P-Value > Z( 5.278) 0.0000
- GLOBAL Geary GC = 0.8676 P-Value > Z(-1.570) 0.1164
- GLOBAL Getis-Ords GO = -0.7894 P-Value > Z(-5.278) 0.0000
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- Moran MI Error Test = 1.3045 P-Value > Z(37.306) 0.1921
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- LM Error (Burridge) = 21.4882 P-Value > Chi2(1) 0.0000
- LM Error (Robust) = 35.8859 P-Value > Chi2(1) 0.0000
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Ho: Spatial Lagged Dependent Variable has No Spatial AutoCorrelation
Ha: Spatial Lagged Dependent Variable has Spatial AutoCorrelation
- LM Lag (Anselin) = 7.2551 P-Value > Chi2(1) 0.0071
- LM Lag (Robust) = 21.6528 P-Value > Chi2(1) 0.0000
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Ho: No General Spatial AutoCorrelation
Ha: General Spatial AutoCorrelation
- LM SAC (LMErr+LMLag_R) = 43.1410 P-Value > Chi2(2) 0.0000
- LM SAC (LMLag+LMErr_R) = 43.1410 P-Value > Chi2(2) 0.0000
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*** Panel Heteroscedasticity Tests
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Ho: Panel Homoscedasticity - Ha: Panel Heteroscedasticity
- Engle LM ARCH Test AR(1): E2 = E2_1 = 141.1295 P-Value > Chi2(1) 0.0000
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- Hall-Pagan LM Test: E2 = Yh = 89.3058 P-Value > Chi2(1) 0.0000
- Hall-Pagan LM Test: E2 = Yh2 = 104.2641 P-Value > Chi2(1) 0.0000
- Hall-Pagan LM Test: E2 = LYh2 = 40.3740 P-Value > Chi2(1) 0.0000
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- Harvey LM Test: LogE2 = X = 102.4939 P-Value > Chi2(2) 0.0000
- Wald Test: LogE2 = X = 252.8936 P-Value > Chi2(1) 0.0000
- Glejser LM Test: |E| = X = 240.3061 P-Value > Chi2(2) 0.0000
- Breusch-Godfrey Test: E = E_1 X = 171.8405 P-Value > Chi2(1) 0.0000
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- Machado-Santos-Silva Test: Ev=Yh Yh2 = 138.3565 P-Value > Chi2(2) 0.0000
- Machado-Santos-Silva Test: Ev=X = 137.3670 P-Value > Chi2(2) 0.0000
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- White Test - Koenker(R2): E2 = X = 93.2900 P-Value > Chi2(2) 0.0000
- White Test - B-P-G (SSR): E2 = X = 527.6387 P-Value > Chi2(2) 0.0000
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- White Test - Koenker(R2): E2 = X X2 = 108.0093 P-Value > Chi2(4) 0.0000
- White Test - B-P-G (SSR): E2 = X X2 = 610.8894 P-Value > Chi2(4) 0.0000
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- White Test - Koenker(R2): E2 = X X2 XX= 108.0370 P-Value > Chi2(5) 0.0000
- White Test - B-P-G (SSR): E2 = X X2 XX= 611.0460 P-Value > Chi2(5) 0.0000
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- Cook-Weisberg LM Test: E2/S2n = Yh = 505.1046 P-Value > Chi2(1) 0.0000
- Cook-Weisberg LM Test: E2/S2n = X = 527.6387 P-Value > Chi2(2) 0.0000
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*** Single Variable Tests (E2/Sig2):
- Cook-Weisberg LM Test: rd = 522.1888 P-Value > Chi2(1) 0.0000
- Cook-Weisberg LM Test: b1 = 226.0054 P-Value > Chi2(1) 0.0000
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*** Single Variable Tests:
- King LM Test: rd = 214.8472 P-Value > Chi2(1) 0.0000
- King LM Test: b1 = 212.0716 P-Value > Chi2(1) 0.0000
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* Panel Groupwise Heteroscedasticity Tests
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Ho: Panel Homoscedasticity - Ha: Panel Groupwise Heteroscedasticity
- Lagrange Multiplier LM Test =1624.3008 P-Value > Chi2(29) 0.0000
- Likelihood Ratio LR Test = 629.6604 P-Value > Chi2(29) 0.0000
- Wald Test = 5.40e+04 P-Value > Chi2(30) 0.0000
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* Panel Non Normality Tests
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Ho: Normality - Ha: Non Normality
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*** Non Normality Tests:
- Jarque-Bera LM Test =1300.6427 P-Value > Chi2(2) 0.0000
- White IM Test =1382.5130 P-Value > Chi2(2) 0.0000
- Doornik-Hansen LM Test = 370.6308 P-Value > Chi2(2) 0.0000
- Geary LM Test = -10.3229 P-Value > Chi2(2) 0.0057
- Anderson-Darling Z Test = 14.9347 P > Z(11.836) 1.0000
- D'Agostino-Pearson LM Test = 72.1838 P-Value > Chi2(2) 0.0000
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*** Skewness Tests:
- Srivastava LM Skewness Test = 0.0003 P-Value > Chi2(1) 0.9874
- Small LM Skewness Test = 0.0003 P-Value > Chi2(1) 0.9871
- Skewness Z Test = 0.0162 P-Value > Chi2(1) 0.9871
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*** Kurtosis Tests:
- Srivastava Z Kurtosis Test = 36.0644 P-Value > Z(0,1) 0.0000
- Small LM Kurtosis Test = 72.1836 P-Value > Chi2(1) 0.0000
- Kurtosis Z Test = 8.4961 P-Value > Chi2(1) 0.0000
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Skewness Coefficient = 0.0020 - Standard Deviation = 0.1286
Kurtosis Coefficient = 12.3118 - Standard Deviation = 0.2564
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Runs Test: (83) Runs - (189) Positives - (171) Negatives
Standard Deviation Runs Sig(k) = 9.4499 , Mean Runs E(k) = 180.5500
95% Conf. Interval [E(k)+/- 1.96* Sig(k)] = (162.0283 , 199.0717 )
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*** Tobit Heteroscedasticity LM Tests
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Separate LM Tests - Ho: Homoscedasticity
- LM Test: rd = 91.4368 P-Value > Chi2(1) 0.0000
- LM Test: b1 = 229.9259 P-Value > Chi2(1) 0.0000
Joint LM Test - Ho: Homoscedasticity
- LM Test = 247.1620 P-Value > Chi2(2) 0.0000
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*** Tobit Non Normality LM Tests
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LM Test - Ho: No Skewness
- LM Test = 57.2290 P-Value > Chi2(1) 0.0000
LM test - Ho: No Kurtosis
- LM Test = 63.4978 P-Value > Chi2(1) 0.0000
LM Test - Ho: Normality (No Kurtosis, No Skewness)
- Pagan-Vella LM Test = 74.8666 P-Value > Chi2(2) 0.0000
- Chesher-Irish LM Test = 154.4508 P-Value > Chi2(2) 0.0000
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* Marginal Effect - Elasticity: Linear *
+---------------------------------------------------------------------------+
| Variable | Marginal_Effect(B) | Elasticity(Es) | Mean |
|------------+--------------------+--------------------+--------------------|
|im2 | | | |
| rd | 0.0029 | 0.7773 | 78975666666.6667 |
| b1 | 17263845.0613 | 1.2074 | 20.6137 |
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Mean of Dependent Variable = 2.9475e+08