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Re: st: sargan test for dynamic panel data

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Re: st: sargan test for dynamic panel data

nicola.baldini2
You may have found the solution in the meantime, otherwise my belated reply is: the Sargan is significant, thus your instruments may be not valid. But no suggestion on how to move on (I prefer other methods like -xtlsdvc- (from SSC) or the inverse probability of treatment weights (IPTW) (see Epidemiology, 11: 550-560 and see Jamie Robins and Miguel Hernan both Harvard School of Public Health, they have a website with all the relevant papers)

Nicola
P.S. I'll NOT receive/read any email but the Digest.

At 02.33 19/11/2008 -0500, "Eleonora Bartoloni06" wrote:

>** High Priority **
>
>Hallo,
>
>I have performed the xtabond procedure in stata.10 and I have obtained the following results.
>
>xtabond ros q_immmat leverage  vafat offat  innset add  coslva d1998 d2003, inst(north_we n
>> orth_ea centre) lags(1)   endog(inn) vce(robust) artests(2)
>
>Arellano-Bond dynamic panel-data estimation  Number of obs         =     15546
>Group variable: codice_i                     Number of groups      =      2591
>Time variable: time
>                                             Obs per group:    min =         6
>                                                               avg =         6
>                                                               max =         6
>
>Number of instruments =     44               Wald chi2(11)         =   2917.92
>                                             Prob > chi2           =    0.0000
>One-step results
>- ------------------------------------------------------------------------------
>             |               Robust
>         ros |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
>- -------------+----------------------------------------------------------------
>         ros |
>         L1. |   .3233811   .0198598    16.28   0.000     .2844566    .3623056
>         inn |   .2425445   .1280361     1.89   0.058    -.0084016    .4934906
>    q_immmat |   .0023804   .0013162     1.81   0.071    -.0001994    .0049602
>    leverage |   .0000875   .0001947     0.45   0.653     -.000294     .000469
>       vafat |   .6048328   .0210364    28.75   0.000     .5636022    .6460633
>       offat |  -.6008628   .0672536    -8.93   0.000    -.7326773   -.4690482
>      innset |   .0411136   .0078649     5.23   0.000     .0256986    .0565286
>         add |  -.0017756   .0007399    -2.40   0.016    -.0032257   -.0003254
>      coslva |  -.7031861   .3948626    -1.78   0.075    -1.477103    .0707304
>       d1998 |   .6747555   .0723119     9.33   0.000     .5330267    .8164843
>       d2003 |  -1.008683   .0886336   -11.38   0.000    -1.182402   -.8349642
>       _cons |  -12.10147   .8268329   -14.64   0.000    -13.72203    -10.4809
>- ------------------------------------------------------------------------------
>Instruments for differenced equation
>        GMM-type: L(2/.).ros L(2/.).inn
>        Standard: D.q_immmat D.leverage D.vafat D.offat D.innset D.add D.coslva D.d1998
>                  D.d2003 north_we north_ea centre
>Instruments for level equation
>        Standard: _cons
>
>.. estat sargan
>Sargan test of overidentifying restrictions
>        H0: overidentifying restrictions are valid
>
>        chi2(32)     =   109.316
>        Prob > chi2  =    0.0000
>
>. estat abond
>
>Arellano-Bond test for zero autocorrelation in first-differenced errors
>  +-----------------------+
>  |Order |  z     Prob > z|
>  |------+----------------|
>  |   1  |-16.228  0.0000 |
>  |   2  |-.66241  0.5077 |
>  +-----------------------+
>   H0: no autocorrelation -
>
>
>
>Should I conclude that the Sargan test clearly does not reject the hypothesis that the sets of additional instruments used in the GMM specification are invalid?
>Is there someone who could help me in the correct interpretation and,if my interpretation is correct, in finding a better specification of the model?
>thank you
>Eleonora Bartoloni

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