STATA进行差分GMM估计实例.doc

STATA用xtabond2进行差分GMM估计实例xtabond2 npl l.npl l2.loan, gmm(l.npl loan,lag(2 5) collapse) nolevel small robustFavoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.Dynamic panel-data estimation, one-step difference GMM-Group variable: bank_dum Number of obs = 328Time variable : year Number of groups = 48Number of instruments = 8 Obs per group: min = 0F(2, 48) = 16.93 avg = 6.83Prob F = 0.000 max = 10- | Robust npl | Coef. Std. Err. t P|t| 95% Conf. Interval-+- npl | L1. | .9803696 .1714739 5.72 0.000 .6355982 1.325141 | loan | L2. |-.0167082 .0098918 -1.69 0.098 -.0365969 .0031806-Instruments for first differences equationGMM-type (missing=0, separate instruments for each period unless collapsed) L(2/5).(L.npl loan) collapsed-Arellano-Bond test for AR(1) in first differences: z =-1.72Pr z =0.085Arellano-Bond test for AR(2) in first differences: z =-0.30Pr z =0.763-Sargan test of overid. restrictions: chi2(6) = 2.26Prob chi2 =0.895(Not robust, but not weakened by many instruments.)Hansen test of overid. restrictions: chi2(6) = 5.79Prob chi2 =0.447(Robust, but weakened by many instruments.)加入了控制变量size,结果变成了xtabond2 npl l.npl l2.loan size, gmm(l.npl loan,lag(2 5) collapse) iv(size) nolevel small robustFavoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.Dynamic panel-data estimation, one-step difference GMM-Group variable: bank_dum Number of obs = 328Time variable : year Number of groups = 48Number of instruments = 9 Obs per group: min = 0F(3, 48) = 10.82 avg = 6.83Prob F = 0.000 max = 10- | Robust npl | Coef. Std. Err. t P|t| 95% Conf. Interval-+- npl | L1. | 1.018233 .1890329 5.39 0.000 .6381568 1.398309 | loan | L2. |-.0131397 .0101796 -1.29 0.203 -.0336071 .0073277 | size | .3450704 .2908862 1.19 0.241 -.2397954 .9299363Instruments for first differences equationStandard D.sizeGMM-type (missing=0, separate instruments for each period unless collapsed) L(2/5).(L.npl loan) collapsed-Arellano-Bond test for AR(1) in first differences: z =-1.76Pr z =0.079Arellano-Bond test for AR(2) in first differences: z =-0.29Pr z =0.772-Sargan test of overid. restrictions: chi2(6) = 3.28Prob chi2 =0.773(Not robust, but not weakened by many instruments.)Hansen test of overid. restrictions: chi2(6) = 7.91Prob chi2 =0.245(Robust, but weakened by many instruments.)注意：首先，gmm（）里不能有lag的形式，所以不是gmm(l.npl loan,lag(2 5) collapse)，而是 gmm(npl loan,lag(2 5) collapse)；其次，i