ich arbeite mit einem unbalanced panel über sechs Zeitperioden (0-5).
Ich möchte eine GMM-Regression mit xtabond2 machen, klappt auch alles soweit, jedoch kommt immer die Meldung:
0b.period dropped due to collinearity
5.period dropped due to collinearity
Kann mir das vielleicht jemand bitte erklären?
- Code: Alles auswählen
. xtabond2 FDI
> DR2
> DR Ext_Debt ODA GDP_growth log_GDP_pc
> Inv_Total Inv_Edu Inv_Health
> Inflation Conflicts School PRCL i.period,
> twostep robust small
> gmmstyle(DR2 DR Ext_Debt log_GDP_pc Conflicts School PRCL
> L.(ODA GDP_growth Inv_Total Inv_Edu Inv_Health Inflation),collapse)
> ivstyle(i.period);
Favoring space over speed. To switch, type or click on mata: mata set matafavor
> speed, perm.
0b.period dropped due to collinearity
5.period dropped due to collinearity
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-ste
> p estimation.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: country Number of obs = 358
Time variable : period Number of groups = 103
Number of instruments = 76 Obs per group: min = 1
F(17, 102) = 318.91 avg = 3.48
Prob > F = 0.000 max = 5
------------------------------------------------------------------------------
| Corrected
FDI | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
DR2 | 154.9574 23.40747 6.62 0.000 108.5288 201.386
DR | -34.0646 12.76118 -2.67 0.009 -59.37634 -8.752868
Ext_Debt | .6316289 2.049977 0.31 0.759 -3.434491 4.697749
ODA | 18.07086 13.83563 1.31 0.194 -9.372046 45.51376
GDP_growth | -.0790777 .1638505 -0.48 0.630 -.4040744 .245919
log_GDP_pc | .9881322 1.067983 0.93 0.357 -1.130206 3.106471
Inv_Total | .3233997 .1116049 2.90 0.005 .102032 .5447674
Inv_Edu | -.7230317 .5421905 -1.33 0.185 -1.798464 .3524006
Inv_Health | -.1340951 .6771394 -0.20 0.843 -1.477198 1.209008
Inflation | .3185919 .7958662 0.40 0.690 -1.260005 1.897189
Conflicts | -.1616975 1.509193 -0.11 0.915 -3.155175 2.83178
School | -.043785 .0458947 -0.95 0.342 -.134817 .0472469
PRCL | .065045 .6166273 0.11 0.916 -1.158032 1.288122
|
period |
1 | -2.476416 1.328475 -1.86 0.065 -5.11144 .1586083
2 | -.4240452 .9174682 -0.46 0.645 -2.243839 1.395749
3 | .1601625 .956057 0.17 0.867 -1.736172 2.056497
4 | .9107486 .9487632 0.96 0.339 -.9711187 2.792616
|
_cons | -4.031076 11.61351 -0.35 0.729 -27.06642 19.00427
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(0b.period 1.period 2.period 3.period 4.period 5.period)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/5).(DR2 DR Ext_Debt log_GDP_pc Conflicts School PRCL L.ODA
L.GDP_growth L.Inv_Total L.Inv_Edu L.Inv_Health L.Inflation) collapsed
Instruments for levels equation
Standard
0b.period 1.period 2.period 3.period 4.period 5.period
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(DR2 DR Ext_Debt log_GDP_pc Conflicts School PRCL L.ODA L.GDP_growth
L.Inv_Total L.Inv_Edu L.Inv_Health L.Inflation) collapsed
