Estimating using xtabond2, the results showed that a year-dummy for a year mid-way in the time series got omitted.
I cant find the reason why. Can someone help?
The syntax used is
xi: xtabond2 Y L1.Y L2.Y X1 X2 X3 i.year, gmm(Y X1 X2, lag(3 4) collapse) iv(i.year X3) twostep robust small
The year-dummies omitted are 2001, 2002 and 2006 in the analysis.
Why does 2006 get omitted when the time series is from 2001 t 2014?
The results are given below.
----------------------------------------------------
. xi: xtabond2 dta_win l1.dta_win l2.dta_win fiiown diiown pct_mcap mtba_win roa1_win assetgrowth_win eeq1_win risk_mm_idio risk_mm_sys blev_win logageinc cashtb_win fcftb_win turnover i.year if dividenddummy==1, gmm(dta_win fiiown diiown pct_mcap mtba_win roa1_win assetgrowth_win eeq1_win risk_mm_idio risk_mm_sys blev_win cashtb_win fcftb_win turnover, lag(3 4) collapse)iv(logageinc i.year)twostep robust small
i.year _Iyear_2001-2014 (naturally coded; _Iyear_2001 omitted)
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: code Number of obs = 6701
Time variable : year Number of groups = 1082
Number of instruments = 55 Obs per group: min = 1
F(29, 1081) = 27.12 avg = 6.19
Prob > F = 0.000 max = 12
---------------------------------------------------------------------------------
| Corrected
dta_win | Coef. Std. Err. t P>|t| [95% Conf. Interval]
----------------+----------------------------------------------------------------
dta_win |
L1. | .388768 .1232194 3.16 0.002 .1469917 .6305444
L2. | .3692597 .0685218 5.39 0.000 .2348088 .5037106
fiiown | .0000153 .0001428 0.11 0.915 -.000265 .0002956
diiown | -.0000399 .0002197 -0.18 0.856 -.000471 .0003911
pct_mcap | -.0103048 .0107754 -0.96 0.339 -.0314478 .0108383
mtba_win | .0046882 .0025303 1.85 0.064 -.0002767 .0096532
roa1_win | -.0422918 .0361928 -1.17 0.243 -.113308 .0287244
assetgrowth_win | -.0019189 .0114139 -0.17 0.867 -.0243148 .0204769
eeq1_win | .0082827 .0038711 2.14 0.033 .000687 .0158784
risk_mm_idio | -.4052531 .1965586 -2.06 0.039 -.7909328 -.0195735
risk_mm_sys | -.1649991 .3435699 -0.48 0.631 -.8391385 .5091403
blev_win | -.0153276 .0070511 -2.17 0.030 -.029163 -.0014922
logageinc | -.0004173 .0010576 -0.39 0.693 -.0024925 .0016579
cashtb_win | .0099189 .0134786 0.74 0.462 -.0165282 .036366
fcftb_win | .0026402 .0048906 0.54 0.589 -.0069559 .0122363
turnover | -7.30e-09 1.21e-08 -0.60 0.548 -3.11e-08 1.65e-08
_Iyear_2002 | 0 (omitted)
_Iyear_2003 | .0085298 .003913 2.18 0.029 .0008519 .0162076
_Iyear_2004 | .0108664 .0033438 3.25 0.001 .0043053 .0174275
_Iyear_2005 | .0053074 .0023146 2.29 0.022 .0007658 .0098489
_Iyear_2006 | 0 (omitted)
_Iyear_2007 | .0006564 .0025097 0.26 0.794 -.0042681 .0055809
_Iyear_2008 | .0009782 .0028414 0.34 0.731 -.004597 .0065535
_Iyear_2009 | .0028756 .0043162 0.67 0.505 -.0055936 .0113447
_Iyear_2010 | .0025525 .0025293 1.01 0.313 -.0024104 .0075153
_Iyear_2011 | -.0003014 .0016977 -0.18 0.859 -.0036325 .0030297
_Iyear_2012 | -.0010727 .0022384 -0.48 0.632 -.0054648 .0033194
_Iyear_2013 | -.003221 .0032825 -0.98 0.327 -.0096618 .0032198
_Iyear_2014 | -.0002906 .0032982 -0.09 0.930 -.0067623 .0061811
_cons | .0259919 .0108383 2.40 0.017 .0047254 .0472585
---------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(logageinc _Iyear_2002 _Iyear_2003 _Iyear_2004 _Iyear_2005 _Iyear_2006
_Iyear_2007 _Iyear_2008 _Iyear_2009 _Iyear_2010 _Iyear_2011 _Iyear_2012
_Iyear_2013 _Iyear_2014)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(3/4).(dta_win fiiown diiown pct_mcap mtba_win roa1_win assetgrowth_win
eeq1_win risk_mm_idio risk_mm_sys blev_win cashtb_win fcftb_win turnover)
collapsed
Instruments for levels equation
Standard
logageinc _Iyear_2002 _Iyear_2003 _Iyear_2004 _Iyear_2005 _Iyear_2006
_Iyear_2007 _Iyear_2008 _Iyear_2009 _Iyear_2010 _Iyear_2011 _Iyear_2012
_Iyear_2013 _Iyear_2014
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL2.(dta_win fiiown diiown pct_mcap mtba_win roa1_win assetgrowth_win
eeq1_win risk_mm_idio risk_mm_sys blev_win cashtb_win fcftb_win turnover)
collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -3.07 Pr > z = 0.002
Arellano-Bond test for AR(2) in first differences: z = -0.76 Pr > z = 0.445
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(25) = 45.09 Prob > chi2 = 0.008
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(25) = 20.86 Prob > chi2 = 0.700
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(11) = 10.12 Prob > chi2 = 0.519
Difference (null H = exogenous): chi2(14) = 10.73 Prob > chi2 = 0.707
iv(logageinc _Iyear_2002 _Iyear_2003 _Iyear_2004 _Iyear_2005 _Iyear_2006 _Iyear_2007 _Iyear_2008 _Iyear_2009 _Iyear_2010 _Iyear_2011 _Iyear_2012 _Iyear_2013 _Iyear_2014)
Hansen test excluding group: chi2(13) = 10.69 Prob > chi2 = 0.637
Difference (null H = exogenous): chi2(12) = 10.17 Prob > chi2 = 0.601
I cant find the reason why. Can someone help?
The syntax used is
xi: xtabond2 Y L1.Y L2.Y X1 X2 X3 i.year, gmm(Y X1 X2, lag(3 4) collapse) iv(i.year X3) twostep robust small
The year-dummies omitted are 2001, 2002 and 2006 in the analysis.
Why does 2006 get omitted when the time series is from 2001 t 2014?
The results are given below.
----------------------------------------------------
. xi: xtabond2 dta_win l1.dta_win l2.dta_win fiiown diiown pct_mcap mtba_win roa1_win assetgrowth_win eeq1_win risk_mm_idio risk_mm_sys blev_win logageinc cashtb_win fcftb_win turnover i.year if dividenddummy==1, gmm(dta_win fiiown diiown pct_mcap mtba_win roa1_win assetgrowth_win eeq1_win risk_mm_idio risk_mm_sys blev_win cashtb_win fcftb_win turnover, lag(3 4) collapse)iv(logageinc i.year)twostep robust small
i.year _Iyear_2001-2014 (naturally coded; _Iyear_2001 omitted)
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: code Number of obs = 6701
Time variable : year Number of groups = 1082
Number of instruments = 55 Obs per group: min = 1
F(29, 1081) = 27.12 avg = 6.19
Prob > F = 0.000 max = 12
---------------------------------------------------------------------------------
| Corrected
dta_win | Coef. Std. Err. t P>|t| [95% Conf. Interval]
----------------+----------------------------------------------------------------
dta_win |
L1. | .388768 .1232194 3.16 0.002 .1469917 .6305444
L2. | .3692597 .0685218 5.39 0.000 .2348088 .5037106
fiiown | .0000153 .0001428 0.11 0.915 -.000265 .0002956
diiown | -.0000399 .0002197 -0.18 0.856 -.000471 .0003911
pct_mcap | -.0103048 .0107754 -0.96 0.339 -.0314478 .0108383
mtba_win | .0046882 .0025303 1.85 0.064 -.0002767 .0096532
roa1_win | -.0422918 .0361928 -1.17 0.243 -.113308 .0287244
assetgrowth_win | -.0019189 .0114139 -0.17 0.867 -.0243148 .0204769
eeq1_win | .0082827 .0038711 2.14 0.033 .000687 .0158784
risk_mm_idio | -.4052531 .1965586 -2.06 0.039 -.7909328 -.0195735
risk_mm_sys | -.1649991 .3435699 -0.48 0.631 -.8391385 .5091403
blev_win | -.0153276 .0070511 -2.17 0.030 -.029163 -.0014922
logageinc | -.0004173 .0010576 -0.39 0.693 -.0024925 .0016579
cashtb_win | .0099189 .0134786 0.74 0.462 -.0165282 .036366
fcftb_win | .0026402 .0048906 0.54 0.589 -.0069559 .0122363
turnover | -7.30e-09 1.21e-08 -0.60 0.548 -3.11e-08 1.65e-08
_Iyear_2002 | 0 (omitted)
_Iyear_2003 | .0085298 .003913 2.18 0.029 .0008519 .0162076
_Iyear_2004 | .0108664 .0033438 3.25 0.001 .0043053 .0174275
_Iyear_2005 | .0053074 .0023146 2.29 0.022 .0007658 .0098489
_Iyear_2006 | 0 (omitted)
_Iyear_2007 | .0006564 .0025097 0.26 0.794 -.0042681 .0055809
_Iyear_2008 | .0009782 .0028414 0.34 0.731 -.004597 .0065535
_Iyear_2009 | .0028756 .0043162 0.67 0.505 -.0055936 .0113447
_Iyear_2010 | .0025525 .0025293 1.01 0.313 -.0024104 .0075153
_Iyear_2011 | -.0003014 .0016977 -0.18 0.859 -.0036325 .0030297
_Iyear_2012 | -.0010727 .0022384 -0.48 0.632 -.0054648 .0033194
_Iyear_2013 | -.003221 .0032825 -0.98 0.327 -.0096618 .0032198
_Iyear_2014 | -.0002906 .0032982 -0.09 0.930 -.0067623 .0061811
_cons | .0259919 .0108383 2.40 0.017 .0047254 .0472585
---------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(logageinc _Iyear_2002 _Iyear_2003 _Iyear_2004 _Iyear_2005 _Iyear_2006
_Iyear_2007 _Iyear_2008 _Iyear_2009 _Iyear_2010 _Iyear_2011 _Iyear_2012
_Iyear_2013 _Iyear_2014)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(3/4).(dta_win fiiown diiown pct_mcap mtba_win roa1_win assetgrowth_win
eeq1_win risk_mm_idio risk_mm_sys blev_win cashtb_win fcftb_win turnover)
collapsed
Instruments for levels equation
Standard
logageinc _Iyear_2002 _Iyear_2003 _Iyear_2004 _Iyear_2005 _Iyear_2006
_Iyear_2007 _Iyear_2008 _Iyear_2009 _Iyear_2010 _Iyear_2011 _Iyear_2012
_Iyear_2013 _Iyear_2014
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL2.(dta_win fiiown diiown pct_mcap mtba_win roa1_win assetgrowth_win
eeq1_win risk_mm_idio risk_mm_sys blev_win cashtb_win fcftb_win turnover)
collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -3.07 Pr > z = 0.002
Arellano-Bond test for AR(2) in first differences: z = -0.76 Pr > z = 0.445
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(25) = 45.09 Prob > chi2 = 0.008
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(25) = 20.86 Prob > chi2 = 0.700
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(11) = 10.12 Prob > chi2 = 0.519
Difference (null H = exogenous): chi2(14) = 10.73 Prob > chi2 = 0.707
iv(logageinc _Iyear_2002 _Iyear_2003 _Iyear_2004 _Iyear_2005 _Iyear_2006 _Iyear_2007 _Iyear_2008 _Iyear_2009 _Iyear_2010 _Iyear_2011 _Iyear_2012 _Iyear_2013 _Iyear_2014)
Hansen test excluding group: chi2(13) = 10.69 Prob > chi2 = 0.637
Difference (null H = exogenous): chi2(12) = 10.17 Prob > chi2 = 0.601