我正在使用Stata 13估算具有差异GMM和系统GMM的动态面板数据。我使用 xtdpd 命令,这是输出表:
. xtdpd leverage l.leverage lprft lsize ldepr lgrowth lliq,dgmmiv(d.leverage)
div(lprft lsize ldepr lgrowth lliq) div(l3.prft l3.size l3.depr l3.growth l3.liq,
nodifference) liv (l3.prft l3.size l3.depr l3.growth l3.liq) artests(2) two
Dynamic panel-data estimation Number of obs = 84
Group variable: id Number of groups = 28
Time variable: t
Obs per group: min = 3
avg = 3
max = 3
Number of instruments = 22 Wald chi2(6) = 4180.28
Prob > chi2 = 0.0000
Two-step results
------------------------------------------------------------------------------
leverage | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
leverage |
L1. | .7540185 .0386621 19.50 0.000 .6782421 .8297948
|
lprft | .0096195 .0028605 3.36 0.001 .0040129 .015226
lsize | .0016758 .0077066 0.22 0.828 -.013429 .0167805
ldepr | -.044995 .0153291 -2.94 0.003 -.0750395 -.0149505
lgrowth | -.0032621 .0052863 -0.62 0.537 -.013623 .0070988
lliq | .0104698 .0044998 2.33 0.020 .0016503 .0192892
_cons | .0791022 .0931739 0.85 0.396 -.1035154 .2617197
------------------------------------------------------------------------------
Warning: gmm two-step standard errors are biased; robust standard
errors are recommended.
Instruments for differenced equation
GMM-type: L(2/.).D.leverage
Standard: D.lprft D.lsize D.ldepr D.lgrowth D.lliq L3.prft L3.size L3.depr L3.growth L3.liq
Instruments for level equation
Standard: L3.prft L3.size L3.depr L3.growth L3.liq _cons
下一步,我想通过使用Arellano-Bond测试AR(1)和AR(2)来测试自相关。你能告诉我如何使用Stata中的代码进行测试吗?
非常感谢你!