动态面板GMM估计与检验（xtdpdgmm）

来源：本文由计量经济学服务中心综合整理自：Generalized method of moments estimation of linear dynamic panel data models，作者：

Sebastian Kripfganz，University of Exeter Business School, Department of Economics, Exeter, UK

转载请注明出处

前言：

xtdpdgmm实现了线性动态面板数据模型的广义矩法(GMM)估计。除了Arellano and Bond (1991), Arellano and Bover (1995), and Blundell and Bond (1998)可以实现线性矩条件的GMM估计，xtdpdgmm也可以合并Ahn and Schmidt(1995)提出的非线性矩条件。后者对于高持久性数据，可以产生更好的以及稳健结果。

动态面板数据命令回顾

December 15, 2000: Stata 7 released with the new xtabond

command for the Arellano and Bond (1991) difference GMM

(diff-GMM) estimation.

November 26, 2003: David Roodman announced the

community-contributed xtabond2command for Arellano and

Bover (1995) and Blundell and Bond (1998) system GMM

(sys-GMM) estimation.

June 25, 2007: Stata 10 released with the new xtdpdsys

command for sys-GMM estimation. Both xtabond and

xtdpdsys are wrappers for the xtdpd command.

展开全文

March 2009: David Roodman’s “How to do xtabond2” article

appeared in the Stata Journal.

July 13, 2009: Stata 11 released with the new gmm command

for GMM estimation (not just of dynamic panel data models).

December 2012: Stata Journal Editor’s Prize for David

Roodman.

June 1, 2017: New community-contributed xtdpdgmm

command for sys-GMM estimation and GMM estimation with

the Ahn and Schmidt (1995) nonlinear moment conditions

announced on Statalist.

Generalized method of moments estimation of linear dynamic panel data models

命令为xtdpdgmm，下载安装方法为：

命令语法格式为：

iv(iv_spec)：可以指定工具变量。您可以根据需要指定任意多个工具变量。允许的子选项是差分或者水平。

gmmiv(gmmiv_spec)：指定GMM-type instruments

noserial：假设连续不相关的特质性误差

wmatrix(wmat_spec)：指定用于获得一阶GMM估计或两步GMM估计的初始估计的加权矩阵。可以是unadjusted, independent, or separate种的选项。

vce(vcetype)：稳健标准误估计，选项可以实conventional or robust

level(#)：设置置信水平，默认为 level(95)

coeflegend：display legend instead of statistics

noheader:suppress output header

notable：suppress coefficient table

display_options: control columns and column formats, row spacing, line width, display of omitted variables and base and empty cells, and factor-variable labeling

动态面板操作命令

Equivalent diff-GMM implementations in Stata1

1、导入数据

查看数据，结果为：

2、操作命令

xtabond n, la(1) maxld(3) pre(w k) maxlag(3) nocons vce(r)xtdpd L(0/1).n w k, dgmm(L.n w k, lag(1 3)) nocons vce(r)xtabond2 L(0/1).n w k, gmm(L.n w k, lag(1 3) e(d)) nol r

xtdpdgmm L(0/1).n w k, gmm(L.n w k, l(1 3) m(d)) nocons vce(r)

gmm (D.n - {b1} *LD.n - {b2}*D.w - {b3}*D.k), /// > xtinst(L.n w k, lags(1/3)) inst(, nocons) winit(xt D) one vce(r)

3、操作命令

gmm (D.n - {b1} *LD.n - {b2}*D.w - {b3}*D.k) /// > (n - {b1}*L.n - {b2}*w - {b3}*k - {c}), ///> xtinst(1: L.n w k, lags(1/3)) inst(1:, nocons) ///> xtinst(2: D.(L.n w k), lags(0)) winit(xt DL) wmat(r) vce(un) nocommonesample

动态面板模型之 GMM 估计（xtdpdgmm)

1、一阶差分GMM估计

注意：xtdpdgmm有选项nolog,noheader,notable,nofootnote不输出结果