*use "https://www.stata-press.com/data/r17/abdata.dta", clear
webuse abdata, clear
describe
Contains data from https://www.stata-press.com/data/r17/abdata.dta
Observations: 1,031
Variables: 30 3 Mar 2020 01:13
--------------------------------------------------------------------------------
Variable Storage Display Value
name type format label Variable label
--------------------------------------------------------------------------------
c1 str9 %9s
ind float %9.0g
year float %9.0g
emp float %9.0g
wage float %9.0g
cap float %9.0g
indoutpt float %9.0g
n float %9.0g
w float %9.0g
k float %9.0g
ys float %9.0g
rec float %9.0g
yearm1 float %9.0g
id float %9.0g
nL1 float %9.0g
nL2 float %9.0g
wL1 float %9.0g
kL1 float %9.0g
kL2 float %9.0g
ysL1 float %9.0g
ysL2 float %9.0g
yr1976 byte %8.0g year==1976
yr1977 byte %8.0g year==1977
yr1978 byte %8.0g year==1978
yr1979 byte %8.0g year==1979
yr1980 byte %8.0g year==1980
yr1981 byte %8.0g year==1981
yr1982 byte %8.0g year==1982
yr1983 byte %8.0g year==1983
yr1984 byte %8.0g year==1984
--------------------------------------------------------------------------------
Sorted by: id year
sort id year
xtset id year
xtsum n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2
Panel variable: id (unbalanced)
Time variable: year, 1976 to 1984
Delta: 1 unit
Variable | Mean Std. dev. Min Max | Observations
-----------------+--------------------------------------------+----------------
c1 overall | . . . . | N = 0
between | . . . | n = 0
within | . . . | T = .
| |
ind overall | 5.123181 2.678095 1 9 | N = 1031
between | 2.677405 1 9 | n = 140
within | 0 5.123181 5.123181 | T-bar = 7.36429
| |
year overall | 1979.651 2.21607 1976 1984 | N = 1031
between | .6001349 1979 1981 | n = 140
within | 2.133869 1975.651 1983.651 | T-bar = 7.36429
| |
emp overall | 7.891677 15.93492 .104 108.562 | N = 1031
between | 16.16889 .12975 102.1901 | n = 140
within | 2.209997 -14.81247 34.76311 | T-bar = 7.36429
| |
wage overall | 23.9188 5.648418 8.0171 45.2318 | N = 1031
between | 5.184036 8.713344 36.06047 | n = 140
within | 2.06765 11.72244 40.93513 | T-bar = 7.36429
| |
cap overall | 2.507432 6.248712 .0119 47.1079 | N = 1031
between | 6.104788 .0290571 38.4908 | n = 140
within | 1.057896 -12.41607 12.48235 | T-bar = 7.36429
| |
indoutpt overall | 103.8012 9.938008 86.9 128.3653 | N = 1031
between | 4.364938 96.52857 115.0673 | n = 140
within | 8.950181 85.60127 121.9416 | T-bar = 7.36429
| |
n overall | 1.056002 1.341506 -2.263364 4.687321 | N = 1031
between | 1.33915 -2.043388 4.62618 | n = 140
within | .1945829 .242462 2.148389 | T-bar = 7.36429
| |
w overall | 3.142988 .2630081 2.081577 3.8118 | N = 1031
between | .2439766 2.163658 3.583478 | n = 140
within | .0831353 2.427872 3.653328 | T-bar = 7.36429
| |
k overall | -.4415775 1.514132 -4.431217 3.852441 | N = 1031
between | 1.509255 -3.707425 3.625241 | n = 140
within | .2159628 -1.201903 .7753638 | T-bar = 7.36429
| |
ys overall | 4.638015 .0939611 4.464758 4.85488 | N = 1031
between | .0393496 4.564672 4.738875 | n = 140
within | .0855069 4.472483 4.79896 | T-bar = 7.36429
| |
rec overall | 516 297.7684 1 1031 | N = 1031
between | 292.1768 4 1027 | n = 140
within | 2.133869 512 520 | T-bar = 7.36429
| |
yearm1 overall | 1979.644 2.213454 1976 1984 | N = 1031
between | .5551319 1979 1980.714 | n = 140
within | 2.142796 1975.644 1984.019 | T-bar = 7.36429
| |
id overall | 73.20369 41.23333 1 140 | N = 1031
between | 40.5586 1 140 | n = 140
within | 0 73.20369 73.20369 | T-bar = 7.36429
| |
nL1 overall | 1.083518 1.338469 -2.095571 4.687321 | N = 891
between | 1.340891 -2.034767 4.631017 | n = 140
within | .1645276 .4121642 2.148692 | T-bar = 6.36429
| |
nL2 overall | 1.107716 1.333478 -2.079442 4.687321 | N = 751
between | 1.340429 -2.024633 4.630025 | n = 140
within | .133065 .4091591 2.1586 | T-bar = 5.36429
| |
wL1 overall | 3.132166 .2639638 2.081577 3.8118 | N = 891
between | .2458396 2.156535 3.566466 | n = 140
within | .0778219 2.462948 3.637863 | T-bar = 6.36429
| |
kL1 overall | -.4131872 1.501461 -4.431217 3.852441 | N = 891
between | 1.501169 -3.625378 3.608243 | n = 140
within | .1888234 -1.219026 .7132781 | T-bar = 6.36429
| |
kL2 overall | -.392113 1.486371 -4.431217 3.852441 | N = 751
between | 1.489908 -3.542483 3.589017 | n = 140
within | .1669889 -1.280847 .6616517 | T-bar = 5.36429
| |
ysL1 overall | 4.651039 .0923352 4.464758 4.85488 | N = 891
between | .0468502 4.580368 4.766464 | n = 140
within | .0798721 4.470286 4.797645 | T-bar = 6.36429
| |
ysL2 overall | 4.67097 .085 4.490414 4.85488 | N = 751
between | .0573333 4.585131 4.802614 | n = 140
within | .0632824 4.484873 4.797996 | T-bar = 5.36429
| |
yr1976 overall | .0775946 .2676624 0 1 | N = 1031
between | .0683845 0 .1428571 | n = 140
within | .2589885 -.0652626 .9664835 | T-bar = 7.36429
| |
yr1977 overall | .1338506 .340657 0 1 | N = 1031
between | .0195199 0 .1428571 | n = 140
within | .340104 -.0090065 1.02274 | T-bar = 7.36429
| |
yr1978 overall | .1357905 .3427322 0 1 | N = 1031
between | .0108023 .1111111 .1428571 | n = 140
within | .3425421 -.0070666 1.024679 | T-bar = 7.36429
| |
yr1979 overall | .1357905 .3427322 0 1 | N = 1031
between | .0108023 .1111111 .1428571 | n = 140
within | .3425421 -.0070666 1.024679 | T-bar = 7.36429
| |
yr1980 overall | .1357905 .3427322 0 1 | N = 1031
between | .0108023 .1111111 .1428571 | n = 140
within | .3425421 -.0070666 1.024679 | T-bar = 7.36429
| |
yr1981 overall | .1357905 .3427322 0 1 | N = 1031
between | .0108023 .1111111 .1428571 | n = 140
within | .3425421 -.0070666 1.024679 | T-bar = 7.36429
| |
yr1982 overall | .1357905 .3427322 0 1 | N = 1031
between | .0108023 .1111111 .1428571 | n = 140
within | .3425421 -.0070666 1.024679 | T-bar = 7.36429
| |
yr1983 overall | .0756547 .2645732 0 1 | N = 1031
between | .0664069 0 .1428571 | n = 140
within | .2563983 -.0672024 .9645436 | T-bar = 7.36429
| |
yr1984 overall | .0339476 .1811823 0 1 | N = 1031
between | .0525297 0 .1428571 | n = 140
within | .1728789 -.1089095 .9228365 | T-bar = 7.36429
regress n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr*, cluster(id)
note: yr1976 omitted because of collinearity.
note: yr1977 omitted because of collinearity.
note: yr1984 omitted because of collinearity.
Linear regression Number of obs = 751
F(16, 139) = 13990.88
Prob > F = 0.0000
R-squared = 0.9944
Root MSE = .10158
(Std. err. adjusted for 140 clusters in id)
------------------------------------------------------------------------------
| Robust
n | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
nL1 | 1.044643 .0517969 20.17 0.000 .9422313 1.147055
nL2 | -.0765426 .0488082 -1.57 0.119 -.1730451 .0199598
w | -.5236727 .1740911 -3.01 0.003 -.8678817 -.1794637
wL1 | .4767538 .1717904 2.78 0.006 .1370937 .8164139
k | .3433951 .048649 7.06 0.000 .2472074 .4395829
kL1 | -.2018991 .0650327 -3.10 0.002 -.3304803 -.073318
kL2 | -.1156467 .0358966 -3.22 0.002 -.1866206 -.0446727
ys | .4328752 .17894 2.42 0.017 .079079 .7866715
ysL1 | -.7679125 .2514336 -3.05 0.003 -1.265041 -.2707836
ysL2 | .3124721 .1322678 2.36 0.020 .0509551 .5739891
yr1976 | 0 (omitted)
yr1977 | 0 (omitted)
yr1978 | -.0153956 .0204269 -0.75 0.452 -.0557832 .024992
yr1979 | .0004932 .0187355 0.03 0.979 -.0365503 .0375367
yr1980 | .0065977 .0204613 0.32 0.748 -.033858 .0470534
yr1981 | -.0375487 .0228406 -1.64 0.102 -.0827087 .0076113
yr1982 | -.0304299 .0194649 -1.56 0.120 -.0689156 .0080557
yr1983 | -.0080024 .020992 -0.38 0.704 -.0495073 .0335025
yr1984 | 0 (omitted)
_cons | .2901212 .3136154 0.93 0.357 -.3299523 .9101947
------------------------------------------------------------------------------
xtreg n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr*, fe cluster(id)
note: yr1976 omitted because of collinearity.
note: yr1977 omitted because of collinearity.
note: yr1984 omitted because of collinearity.
Fixed-effects (within) regression Number of obs = 751
Group variable: id Number of groups = 140
R-squared: Obs per group:
Within = 0.7973 min = 5
Between = 0.9809 avg = 5.4
Overall = 0.9758 max = 7
F(16,139) = 152.18
corr(u_i, Xb) = 0.5459 Prob > F = 0.0000
(Std. err. adjusted for 140 clusters in id)
------------------------------------------------------------------------------
| Robust
n | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
nL1 | .7329476 .0596831 12.28 0.000 .6149436 .8509516
nL2 | -.1394773 .0781564 -1.78 0.077 -.2940065 .0150519
w | -.5597445 .1596195 -3.51 0.001 -.8753406 -.2441484
wL1 | .3149987 .1430587 2.20 0.029 .0321463 .5978511
k | .3884188 .056928 6.82 0.000 .275862 .5009756
kL1 | -.0805185 .0538774 -1.49 0.137 -.1870436 .0260066
kL2 | -.0278013 .0426222 -0.65 0.515 -.1120728 .0564703
ys | .468666 .1712492 2.74 0.007 .1300759 .8072561
ysL1 | -.6285587 .2066106 -3.04 0.003 -1.037065 -.2200527
ysL2 | .0579764 .1326758 0.44 0.663 -.2043473 .3203001
yr1976 | 0 (omitted)
yr1977 | 0 (omitted)
yr1978 | .0119152 .0281652 0.42 0.673 -.0437723 .0676028
yr1979 | .0165714 .0278495 0.60 0.553 -.038492 .0716348
yr1980 | .0231479 .0266961 0.87 0.387 -.029635 .0759308
yr1981 | -.013454 .0272058 -0.49 0.622 -.0672447 .0403366
yr1982 | -.0224821 .0202344 -1.11 0.268 -.062489 .0175248
yr1983 | -.0161192 .0208214 -0.77 0.440 -.0572868 .0250485
yr1984 | 0 (omitted)
_cons | 1.780205 .6303464 2.82 0.005 .5338981 3.026512
-------------+----------------------------------------------------------------
sigma_u | .22568151
sigma_e | .09395847
rho | .85227336 (fraction of variance due to u_i)
------------------------------------------------------------------------------
ivregress 2sls D.n (D.nL1 = nL2) D.(nL2 w wL1 k kL1 kL2 ///
ys ysL1 ysL2 yr1979 yr1980 yr1981 yr1982 yr1983)
Instrumental variables 2SLS regression Number of obs = 611
Wald chi2(15) = 89.93
Prob > chi2 = 0.0000
R-squared = .
Root MSE = .247
------------------------------------------------------------------------------
D.n | Coefficient Std. err. z P>|z| [95% conf. interval]
-------------+----------------------------------------------------------------
nL1 |
D1. | 2.307626 1.973193 1.17 0.242 -1.559762 6.175013
|
nL2 |
D1. | -.2240271 .179043 -1.25 0.211 -.5749448 .1268907
|
w |
D1. | -.8103626 .261805 -3.10 0.002 -1.323491 -.2972342
|
wL1 |
D1. | 1.422246 1.179492 1.21 0.228 -.8895156 3.734007
|
k |
D1. | .2530975 .1447404 1.75 0.080 -.0305884 .5367835
|
kL1 |
D1. | -.5524613 .6154929 -0.90 0.369 -1.758805 .6538825
|
kL2 |
D1. | -.2126364 .2397909 -0.89 0.375 -.6826179 .2573451
|
ys |
D1. | .9905803 .4630105 2.14 0.032 .0830965 1.898064
|
ysL1 |
D1. | -1.937912 1.438225 -1.35 0.178 -4.75678 .8809566
|
ysL2 |
D1. | .4870838 .5099415 0.96 0.339 -.5123832 1.486551
|
yr1979 |
D1. | .0467148 .0448599 1.04 0.298 -.0412089 .1346385
|
yr1980 |
D1. | .0761344 .0624919 1.22 0.223 -.0463474 .1986163
|
yr1981 |
D1. | .022623 .0557394 0.41 0.685 -.0866242 .1318701
|
yr1982 |
D1. | .0127801 .0548402 0.23 0.816 -.0947048 .120265
|
yr1983 |
D1. | .0099072 .0456113 0.22 0.828 -.0794894 .0993037
|
_cons | .0159337 .0273445 0.58 0.560 -.0376605 .0695279
------------------------------------------------------------------------------
Instrumented: D.nL1
Instruments: D.nL2 D.w D.wL1 D.k D.kL1 D.kL2 D.ys D.ysL1 D.ysL2 D.yr1979
D.yr1980 D.yr1981 D.yr1982 D.yr1983 nL2
xtabond2 n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr*, gmm(nL1) ///
iv(w wL1 k kL1 kL2 ys ysL1 ysL2 yr*) nolevel robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor
> speed, perm.
yr1976 dropped due to collinearity
yr1977 dropped due to collinearity
yr1984 dropped due to collinearity
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen te
> st.
Difference-in-Sargan statistics may be negative.
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 611
Time variable : year Number of groups = 140
Number of instruments = 41 Obs per group: min = 4
F(16, 140) = 104.56 avg = 4.36
Prob > F = 0.000 max = 6
------------------------------------------------------------------------------
| Robust
n | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
nL1 | .6862261 .1469282 4.67 0.000 .3957412 .9767111
nL2 | -.0853582 .0569197 -1.50 0.136 -.1978915 .027175
w | -.6078208 .1810819 -3.36 0.001 -.9658296 -.2498121
wL1 | .3926237 .1707048 2.30 0.023 .0551312 .7301161
k | .3568456 .059973 5.95 0.000 .2382759 .4754154
kL1 | -.0580012 .0743609 -0.78 0.437 -.2050167 .0890144
kL2 | -.0199475 .0332407 -0.60 0.549 -.0856661 .0457711
ys | .6085073 .1753161 3.47 0.001 .2618979 .9551167
ysL1 | -.7111651 .2354565 -3.02 0.003 -1.176675 -.245655
ysL2 | .1057969 .1434813 0.74 0.462 -.1778733 .3894671
yr1978 | .0077033 .0319176 0.24 0.810 -.0553996 .0708062
yr1979 | .0172578 .0295618 0.58 0.560 -.0411875 .0757031
yr1980 | .0297185 .0281082 1.06 0.292 -.0258529 .0852899
yr1981 | -.004071 .0303813 -0.13 0.894 -.0641364 .0559944
yr1982 | -.0193555 .0232123 -0.83 0.406 -.0652474 .0265364
yr1983 | -.0136171 .0191302 -0.71 0.478 -.0514386 .0242044
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(w wL1 k kL1 kL2 ys ysL1 ysL2 yr1976 yr1977 yr1978 yr1979 yr1980 yr1981
yr1982 yr1983 yr1984)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/.).nL1
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -3.60 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -0.52 Pr > z = 0.606
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(25) = 67.59 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(25) = 31.38 Prob > chi2 = 0.177
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(w wL1 k kL1 kL2 ys ysL1 ysL2 yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr19
> 82 yr1983 yr1984)
Hansen test excluding group: chi2(11) = 12.01 Prob > chi2 = 0.363
Difference (null H = exogenous): chi2(14) = 19.37 Prob > chi2 = 0.151
xtabond2 n L(1/2).n L(0/1).w L(0/2).(k ys) yr*, gmm(L.n) ///
iv(L(0/1).w L(0/2).(k ys) yr*) nolevel robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor
> speed, perm.
yr1976 dropped due to collinearity
yr1977 dropped due to collinearity
yr1984 dropped due to collinearity
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen te
> st.
Difference-in-Sargan statistics may be negative.
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 611
Time variable : year Number of groups = 140
Number of instruments = 41 Obs per group: min = 4
F(16, 140) = 104.56 avg = 4.36
Prob > F = 0.000 max = 6
------------------------------------------------------------------------------
| Robust
n | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
n |
L1. | .6862261 .1469282 4.67 0.000 .3957412 .9767111
L2. | -.0853582 .0569197 -1.50 0.136 -.1978915 .027175
|
w |
--. | -.6078208 .1810819 -3.36 0.001 -.9658296 -.2498121
L1. | .3926237 .1707048 2.30 0.023 .0551312 .7301161
|
k |
--. | .3568456 .059973 5.95 0.000 .2382759 .4754154
L1. | -.0580012 .0743609 -0.78 0.437 -.2050167 .0890144
L2. | -.0199475 .0332407 -0.60 0.549 -.0856661 .0457711
|
ys |
--. | .6085073 .1753161 3.47 0.001 .2618979 .9551167
L1. | -.7111651 .2354565 -3.02 0.003 -1.176675 -.245655
L2. | .1057969 .1434813 0.74 0.462 -.1778733 .3894671
|
yr1978 | .0077033 .0319176 0.24 0.810 -.0553996 .0708062
yr1979 | .0172578 .0295618 0.58 0.560 -.0411875 .0757031
yr1980 | .0297185 .0281082 1.06 0.292 -.0258529 .0852899
yr1981 | -.004071 .0303813 -0.13 0.894 -.0641364 .0559944
yr1982 | -.0193555 .0232123 -0.83 0.406 -.0652474 .0265364
yr1983 | -.0136171 .0191302 -0.71 0.478 -.0514386 .0242044
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(w L.w k L.k L2.k ys L.ys L2.ys yr1976 yr1977 yr1978 yr1979 yr1980
yr1981 yr1982 yr1983 yr1984)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/.).L.n
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -3.60 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -0.52 Pr > z = 0.606
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(25) = 67.59 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(25) = 31.38 Prob > chi2 = 0.177
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(w L.w k L.k L2.k ys L.ys L2.ys yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr
> 1982 yr1983 yr1984)
Hansen test excluding group: chi2(11) = 12.01 Prob > chi2 = 0.363
Difference (null H = exogenous): chi2(14) = 19.37 Prob > chi2 = 0.151
xtabond2 n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr*, gmm(nL1, lag(2 5)) ///
iv(w wL1 k kL1 kL2 ys ysL1 ysL2 yr*) nolevel robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor
> speed, perm.
yr1976 dropped due to collinearity
yr1977 dropped due to collinearity
yr1984 dropped due to collinearity
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen te
> st.
Difference-in-Sargan statistics may be negative.
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 611
Time variable : year Number of groups = 140
Number of instruments = 32 Obs per group: min = 4
F(16, 140) = 83.06 avg = 4.36
Prob > F = 0.000 max = 6
------------------------------------------------------------------------------
| Robust
n | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
nL1 | .835127 .3221021 2.59 0.011 .1983139 1.47194
nL2 | .2621733 .168555 1.56 0.122 -.071069 .5954155
w | -.6708289 .2109047 -3.18 0.002 -1.087799 -.253859
wL1 | .4361629 .2748123 1.59 0.115 -.1071557 .9794815
k | .3248221 .0656442 4.95 0.000 .1950399 .4546043
kL1 | -.1278657 .1236198 -1.03 0.303 -.3722686 .1165373
kL2 | -.1697384 .0652061 -2.60 0.010 -.2986543 -.0408224
ys | .6399356 .2082587 3.07 0.003 .2281969 1.051674
ysL1 | -.7762311 .3621577 -2.14 0.034 -1.492236 -.0602258
ysL2 | .0195998 .1916987 0.10 0.919 -.3593988 .3985985
yr1978 | -.0264333 .0272127 -0.97 0.333 -.0802342 .0273677
yr1979 | -.0087855 .025915 -0.34 0.735 -.0600208 .0424498
yr1980 | .0103422 .028649 0.36 0.719 -.0462984 .0669828
yr1981 | -.0197328 .0358396 -0.55 0.583 -.0905897 .0511241
yr1982 | -.0298074 .0307328 -0.97 0.334 -.0905677 .030953
yr1983 | -.0112002 .0204428 -0.55 0.585 -.0516167 .0292162
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(w wL1 k kL1 kL2 ys ysL1 ysL2 yr1976 yr1977 yr1978 yr1979 yr1980 yr1981
yr1982 yr1983 yr1984)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/5).nL1
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -1.41 Pr > z = 0.158
Arellano-Bond test for AR(2) in first differences: z = -2.08 Pr > z = 0.037
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(16) = 24.69 Prob > chi2 = 0.075
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(16) = 12.95 Prob > chi2 = 0.676
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(w wL1 k kL1 kL2 ys ysL1 ysL2 yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr19
> 82 yr1983 yr1984)
Hansen test excluding group: chi2(2) = 1.40 Prob > chi2 = 0.497
Difference (null H = exogenous): chi2(14) = 11.56 Prob > chi2 = 0.642
xtabond2 n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr*, gmm(nL1, lag(2 4)) ///
iv(w wL1 k kL1 kL2 ys ysL1 ysL2 yr*) nolevel robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor
> speed, perm.
yr1976 dropped due to collinearity
yr1977 dropped due to collinearity
yr1984 dropped due to collinearity
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen te
> st.
Difference-in-Sargan statistics may be negative.
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 611
Time variable : year Number of groups = 140
Number of instruments = 29 Obs per group: min = 4
F(16, 140) = 70.46 avg = 4.36
Prob > F = 0.000 max = 6
------------------------------------------------------------------------------
| Robust
n | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
nL1 | 1.107051 .2807953 3.94 0.000 .5519035 1.662198
nL2 | .2314476 .1747848 1.32 0.188 -.1141113 .5770065
w | -.7087804 .2175647 -3.26 0.001 -1.138918 -.2786434
wL1 | .6080322 .2624007 2.32 0.022 .0892518 1.126812
k | .3094885 .0680321 4.55 0.000 .1749855 .4439916
kL1 | -.2112921 .122904 -1.72 0.088 -.4542799 .0316957
kL2 | -.2016251 .0656621 -3.07 0.003 -.3314426 -.0718076
ys | .6982485 .2025977 3.45 0.001 .297702 1.098795
ysL1 | -.986704 .34575 -2.85 0.005 -1.67027 -.3031376
ysL2 | .1115407 .1988029 0.56 0.576 -.2815033 .5045848
yr1978 | -.0397756 .0323797 -1.23 0.221 -.103792 .0242408
yr1979 | -.0148331 .0322496 -0.46 0.646 -.0785923 .0489261
yr1980 | .0100056 .0351291 0.28 0.776 -.0594465 .0794576
yr1981 | -.021134 .043033 -0.49 0.624 -.1062125 .0639445
yr1982 | -.0261283 .0347394 -0.75 0.453 -.09481 .0425534
yr1983 | -.0049688 .0241235 -0.21 0.837 -.0526622 .0427247
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(w wL1 k kL1 kL2 ys ysL1 ysL2 yr1976 yr1977 yr1978 yr1979 yr1980 yr1981
yr1982 yr1983 yr1984)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/4).nL1
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -2.04 Pr > z = 0.041
Arellano-Bond test for AR(2) in first differences: z = -1.93 Pr > z = 0.054
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(13) = 10.22 Prob > chi2 = 0.676
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(13) = 9.75 Prob > chi2 = 0.714
(Robust, but can be weakened by many instruments.)
xtabond2 n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr*, gmm(nL1) ///
iv(w wL1 k kL1 kL2 ys ysL1 ysL2 yr*) nolevel orthogonal robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor
> speed, perm.
yr1976 dropped due to collinearity
yr1977 dropped due to collinearity
yr1984 dropped due to collinearity
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen te
> st.
Difference-in-Sargan statistics may be negative.
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 611
Time variable : year Number of groups = 140
Number of instruments = 41 Obs per group: min = 4
F(16, 140) = 141.13 avg = 4.36
Prob > F = 0.000 max = 6
------------------------------------------------------------------------------
| Robust
n | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
nL1 | .7366303 .1432151 5.14 0.000 .4534863 1.019774
nL2 | -.0959867 .0696173 -1.38 0.170 -.2336239 .0416505
w | -.5630846 .1623738 -3.47 0.001 -.8841062 -.2420629
wL1 | .316932 .1594225 1.99 0.049 .0017452 .6321188
k | .3842959 .0561351 6.85 0.000 .2733139 .495278
kL1 | -.0825036 .0699014 -1.18 0.240 -.2207024 .0556952
kL2 | -.0464861 .0438018 -1.06 0.290 -.1330846 .0401124
ys | .4687189 .1720838 2.72 0.007 .1285001 .8089377
ysL1 | -.6254982 .2187189 -2.86 0.005 -1.057917 -.1930792
ysL2 | .0419738 .1422114 0.30 0.768 -.2391858 .3231334
yr1978 | .0091826 .0272736 0.34 0.737 -.0447388 .063104
yr1979 | .0145949 .0267841 0.54 0.587 -.0383588 .0675485
yr1980 | .0216254 .0258883 0.84 0.405 -.0295572 .072808
yr1981 | -.0145863 .0268631 -0.54 0.588 -.0676961 .0385235
yr1982 | -.023622 .0203417 -1.16 0.248 -.0638385 .0165946
yr1983 | -.0159339 .0209197 -0.76 0.448 -.0572932 .0254254
------------------------------------------------------------------------------
Instruments for orthogonal deviations equation
Standard
FOD.(w wL1 k kL1 kL2 ys ysL1 ysL2 yr1976 yr1977 yr1978 yr1979 yr1980
yr1981 yr1982 yr1983 yr1984)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/.).nL1
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -4.09 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -0.31 Pr > z = 0.758
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(25) = 61.85 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(25) = 31.61 Prob > chi2 = 0.170
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(w wL1 k kL1 kL2 ys ysL1 ysL2 yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr19
> 82 yr1983 yr1984)
Hansen test excluding group: chi2(11) = 11.09 Prob > chi2 = 0.436
Difference (null H = exogenous): chi2(14) = 20.52 Prob > chi2 = 0.115
xtabond2 n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr*, gmm(nL1 wL1 kL1) ///
iv(ys ysL1 ysL2 yr*) nolevel robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor
> speed, perm.
yr1976 dropped due to collinearity
yr1977 dropped due to collinearity
yr1984 dropped due to collinearity
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen te
> st.
Difference-in-Sargan statistics may be negative.
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 611
Time variable : year Number of groups = 140
Number of instruments = 90 Obs per group: min = 4
F(16, 140) = 85.30 avg = 4.36
Prob > F = 0.000 max = 6
------------------------------------------------------------------------------
| Robust
n | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
nL1 | .8179867 .0859761 9.51 0.000 .6480073 .987966
nL2 | -.1122756 .0502366 -2.23 0.027 -.211596 -.0129552
w | -.6816685 .1425813 -4.78 0.000 -.9635594 -.3997776
wL1 | .6557083 .202368 3.24 0.001 .2556158 1.055801
k | .3525689 .1217997 2.89 0.004 .1117643 .5933735
kL1 | -.1536626 .0862928 -1.78 0.077 -.324268 .0169428
kL2 | -.0304529 .0321355 -0.95 0.345 -.0939866 .0330807
ys | .6509498 .189582 3.43 0.001 .276136 1.025764
ysL1 | -.9162028 .2639274 -3.47 0.001 -1.438001 -.3944042
ysL2 | .2786584 .1855286 1.50 0.135 -.0881415 .6454584
yr1978 | .0238987 .0367972 0.65 0.517 -.0488513 .0966487
yr1979 | .0352258 .0351846 1.00 0.318 -.034336 .1047876
yr1980 | .0502675 .0365659 1.37 0.171 -.0220252 .1225602
yr1981 | .0102721 .0349996 0.29 0.770 -.058924 .0794683
yr1982 | -.0111623 .0264747 -0.42 0.674 -.0635042 .0411797
yr1983 | -.0069458 .0191611 -0.36 0.718 -.0448283 .0309368
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(ys ysL1 ysL2 yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr1982 yr1983
yr1984)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/.).(nL1 wL1 kL1)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -5.39 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -0.78 Pr > z = 0.436
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(74) = 120.62 Prob > chi2 = 0.001
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(74) = 73.72 Prob > chi2 = 0.487
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(ys ysL1 ysL2 yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr1982 yr1983 yr1984
> )
Hansen test excluding group: chi2(65) = 56.99 Prob > chi2 = 0.750
Difference (null H = exogenous): chi2(9) = 16.72 Prob > chi2 = 0.053
xtabond2 n L.n L(0/1).(w k) yr*, gmm(L.(n w k)) iv(yr*, equation(level)) ///
robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor
> speed, perm.
yr1976 dropped due to collinearity
yr1984 dropped due to collinearity
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen te
> st.
Difference-in-Sargan statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 891
Time variable : year Number of groups = 140
Number of instruments = 113 Obs per group: min = 6
F(12, 139) = 1154.36 avg = 6.36
Prob > F = 0.000 max = 8
------------------------------------------------------------------------------
| Robust
n | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
n |
L1. | .9356053 .026569 35.21 0.000 .8830737 .9881369
|
w |
--. | -.6309761 .1192834 -5.29 0.000 -.8668206 -.3951315
L1. | .4826203 .1383132 3.49 0.001 .2091504 .7560901
|
k |
--. | .4839299 .0544281 8.89 0.000 .3763159 .591544
L1. | -.4243928 .059088 -7.18 0.000 -.5412204 -.3075653
|
yr1977 | -.0240573 .0296969 -0.81 0.419 -.0827734 .0346588
yr1978 | -.0176523 .0229277 -0.77 0.443 -.0629845 .0276799
yr1979 | -.0026515 .0207492 -0.13 0.899 -.0436764 .0383735
yr1980 | -.0173995 .0221715 -0.78 0.434 -.0612366 .0264376
yr1981 | -.0435283 .0193348 -2.25 0.026 -.0817565 -.0053
yr1982 | -.0096193 .0186829 -0.51 0.607 -.0465588 .0273201
yr1983 | .0038132 .0171959 0.22 0.825 -.0301861 .0378126
_cons | .5522011 .1971607 2.80 0.006 .1623793 .9420228
------------------------------------------------------------------------------
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/.).(L.n L.w L.k)
Instruments for levels equation
Standard
_cons
yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr1982 yr1983 yr1984
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(L.n L.w L.k)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -5.46 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -0.25 Pr > z = 0.804
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(100) = 186.90 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(100) = 110.70 Prob > chi2 = 0.218
(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(79) = 84.33 Prob > chi2 = 0.320
Difference (null H = exogenous): chi2(21) = 26.37 Prob > chi2 = 0.193
iv(yr1976 yr1977 yr1978 yr1979 yr1980 yr1981 yr1982 yr1983 yr1984, eq(level))
Hansen test excluding group: chi2(93) = 107.79 Prob > chi2 = 0.140
Difference (null H = exogenous): chi2(7) = 2.91 Prob > chi2 = 0.893