STATA进行差分GMM估计实例

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 robust

Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.

lgks200Dynamic panel-data estimation, one-step difference GMM

------------------------------------------------------------------------------ Group variable: bank_dum Number of obs = 328 Time variable : year Number of groups = 48 Number of instruments = 8 Obs per group: min = 0 F(2, 48) = 16.93 avg = 6.83

Prob > F = 0.000 max = 10棒球小英雄

------------------------------------------------------------------------------ | 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 equation

2008台湾大选GMM-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 = -1.72 Pr > z = 0.085 Arellano-Bond test for AR(2) in first differences: z = -0.30 Pr > z = 0.763 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(6) = 2.26 Prob > chi2 = 0.895 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(6) = 5.79 Prob > 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 robust

Favoring 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 = 328 Time variable : year Number of groups = 48 Number of instruments = 9 Obs per group: min = 0 F(3, 48) = 10.82 avg = 6.83

Prob > 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 |

财政部长

loan |

L2. | -.0131397 .0101796 -1.29 0.203 -.0336071 .0073277 |

size | .3450704 .2908862 1.19 0.241 -.2397954 .9299363 Instruments for first differences equation

Standard

D.size

GMM-type (missing=0, separate instruments for each period unless collapsed)

2010年广东高考作文L(2/5).(L.npl loan) collapsed

------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -1.76 Pr > z = 0.079 Arellano-Bond test for AR(2) in first differences: z = -0.29 Pr > z = 0.772 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(6) = 3.28 Prob > chi2 = 0.773 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(6) = 7.91 Prob > chi2 = 0.245 (Robust, but weakened by many instruments.)

飘舞的碎布

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，iv(size)其实你就默认size是严格外生的，不良贷款率也有可能影响size啊，

所以也有可能是内生；

再次，解释变量为什么选用滞后两期的l2.loan，可以直接使用当期的loan试试；最后，面板数据最好加入时间虚拟变量/行业虚拟变量/地区虚拟变量等考虑。

本文发布于:2024-09-22 11:41:31，感谢您对本站的认可！

本文链接：https://www.17tex.com/xueshu/645647.html

上一篇：斯托克,沃森计量经济学第五章第六章实证练习stata操作及答案_百度文 ...

下一篇：雅思口语9月题库