Tips 102:xtabond2 搞定动态面板
【问题】
有木有为了动态面板伤过神?
刚看到xtabond2的更新,新加入e(Ze)
Z’E where E=2nd-step residuals, used in computing Hansen statistic
【方法】
Stata有个命令xtabond2,作者是:David Roodman,
http://www.cgdev.org/content/expert/detail/2719/
这哥还写过abar\newey2\ivvif\collapse2等。
xtabond2的详细说明:
How to Do xtabond2:
An Introduction to “Difference” and “System” GMM in Stata
http://www.cgdev.org/files/11619_file_HowtoDoxtabond8_with_foreword.pdf
还有专门介绍的PPT:
repec.org/nasug2006/How2Do_xtabond2.ppt
【例子】
*直接复制help中的例子
use http://www.stata-press.com/data/r7/abdata.dta
xtabond2 n l.n l(0/1).(w k) yr1980-yr1984, gmm(l.n w k) iv(yr1980-yr1984, passthru) noleveleq small
xtabond2 n l.n l(0/1).(w k) yr1980-yr1984, gmm(l.n w k) iv(yr1980-yr1984, mz) robust twostep small h(2)
xtabond2 n l(1/2).n l(0/1).w l(0/2).(k ys) yr1980-yr1984, gmm(l.n w k) iv(yr1980-yr1984) robust twostep
small
* Next two are equivalent, assuming id is the panel identifier
ivreg2 n cap (w = k ys rec) [pw=_n], cluster(ind) orthog(rec)
xtabond2 n w cap [pw=_n], iv(cap k ys, eq(level)) iv(rec, eq(level)) cluster(ind) h(1)
* Same for next two
regress n w k
xtabond2 n w k, iv(w k, eq(level)) small h(1)
* And next two, assuming xtabond updated since May 2004 with update command.
xtabond n yr*, lags(1) pre(w, lags(1,.)) pre(k, endog) robust small noconstant
xtabond2 n L.n w L.w k yr*, gmm(L.(w n k)) iv(yr*) noleveleq robust small
* And next two
xtdpd n L.n L(0/1).(w k) yr1978-yr1984, dgmm(w k n) lgmm(w k n) liv(yr1978-yr1984) vce(robust) two hascons
xtabond2 n L.n L(0/1).(w k) yr1978-yr1984, gmm(L.(w k n)) iv(yr1978-yr1984, eq(level)) h(2) robust twostep
* Three ways to reduce the instrument count
xtabond2 n L.n L(0/1).(w k) yr1978-yr1984, gmm(L.(w k n)) iv(yr1978-yr1984, eq(level)) h(2) robust twostep pca
xtabond2 n L.n L(0/1).(w k) yr1978-yr1984, gmm(L.(w k n), collapse) iv(yr1978-yr1984, eq(level)) h(2) robust twostep
xtabond2 n L.n L(0/1).(w k) yr1978-yr1984, gmm(L.(w k n), lag(1 1)) iv(yr1978-yr1984, eq(level)) h(2) robust twostep
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