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Stata动态面板GMM操作英文案例.pdf

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UsingArellano–BondDynamicPanelGMMEstimatorsinStata TutorialwithExamplesusingStata9.0 (xtabondandxtabond2) ElitzaMileva, EconomicsDepartment FordhamUniversity July9,2007 1.Themodel Thefollowingmodelexaminestheimpactofcapitalflowsoninvestmentinapaneldataset of22countriesfor10years(1995–2004): Iit=β1Ii,t−1+β2Kit+β3Xit+uit.(1) Inequation(1)aboveIitisgrossfixedcapitalformationasapercentageofGDPandIit-1isits laggedvalue.Kitisamatrixofthecomponentsofforeignresourceflows–FDI,loansand portfolio(equityandbonds)–aspercentagesharesofGDP.Xitisamatrixofthefollowingcontrol variables:laggedrealGDPgrowthtoaccountfortheacceleratoreffect;theabsolutevalueofone stepaheadgrowthforecasterrorsasameasureofuncertainty;thechangeinthelogtermsoftrade togaugethepriceofimportedcapitalgoods;and,finally,thedeviationofM2fromitsthree-year trendasaproxyfortheliquidityavailabletofinanceinvestment. 2.WhytheArellano–BondGMMestimator? Severaleconometricproblemsmayarisefromestimatingequation(1): 1.ThecapitalflowsvariablesinKitareassumedtobeendogenous.Becausecausalitymayrunin bothdirections–fromcapitalinflowstoinvestmentandviceversa–theseregressorsmaybe correlatedwiththeerrorterm. 2.Time-invariantcountrycharacteristics(fixedeffects),suchasgeographyanddemographics, maybecorrelatedwiththeexplanatoryvariables.Thefixedeffectsarecontainedintheerrorterm inequation(1),whichconsistsoftheunobservedcountry-specificeffects,vi,andtheobservation- specificerrors,eit: 1 uit=vi+eit(2). 3.ThepresenceofthelaggeddependentvariableIit-1givesrisetoautocorrelation. 4.Thepaneldatasethasashorttimedimension(T=10)andalargercountrydimension(N=22). Tosolveproblem1(andproblem2)onewouldusuallyusefixed-effectsinstrumental variablesestimation(two-stageleastsquaresor2SLS),whichiswhatItriedfirst.Theexogenous instrumentsIusedwerethefollowing:theaggregatelong-termcapitalinflowstothecountriesin oursampleasagroupasapercentageofthesumoftheircumulativeGDP(Ilabelledthese ‘regionalflows’),anindexoffinancialopennessandtheEBRDtr