DPD IV GMM estimation
Posted: Mon Oct 01, 2012 12:14 pm
Dear Gareth,
I checked your reply to thread "Dynamic Panel Regression GMM" and would like to get your assistance on a related issue :
My data has N<T, I know that DPD estimator is essentially efficient/unbiased for N>T. But in an attempt to replicate a similar study I prefer to use it.
Total panel obs : 231
I used DPD estimator and model ran fairly well.
Number of Coefficients estimated 3.
J-stat : 4.456718
Instrument rank : 7 with p_value 0,26 where Sargan test null is not rejected and I'm happy.
But my instructor commented that the degrees of freedom in Sargan chi square test (7-4 =3) is low and poses a problem.
But does not point out what is the problem. I couldnt find a clue in books, forums as to whether there is a problem or not.
Since I am aiming to finalize the project would very much appreciate your assistance. many thanks in advance.
BR
Ahmet
Variable Coefficient Std. Error t-Statistic Prob.
GROWTH(-1) 0.693639 0.152896 4.536665 0.0000
NPL -1.742775 0.547229 -3.184730 0.0016
NIM 0.472961 0.255109 1.853958 0.0650
DEPTH -0.000286 7.33E-05 -3.894484 0.0001
Effects Specification
Cross-section fixed (first differences)
Mean dependent var 9.79E-05 S.D. dependent var 0.061687
S.E. of regression 0.077787 Sum squared resid 1.415882
J-statistic 4.456718 Instrument rank 7
I checked your reply to thread "Dynamic Panel Regression GMM" and would like to get your assistance on a related issue :
My data has N<T, I know that DPD estimator is essentially efficient/unbiased for N>T. But in an attempt to replicate a similar study I prefer to use it.
Total panel obs : 231
I used DPD estimator and model ran fairly well.
Number of Coefficients estimated 3.
J-stat : 4.456718
Instrument rank : 7 with p_value 0,26 where Sargan test null is not rejected and I'm happy.
But my instructor commented that the degrees of freedom in Sargan chi square test (7-4 =3) is low and poses a problem.
But does not point out what is the problem. I couldnt find a clue in books, forums as to whether there is a problem or not.
Since I am aiming to finalize the project would very much appreciate your assistance. many thanks in advance.
BR
Ahmet
Variable Coefficient Std. Error t-Statistic Prob.
GROWTH(-1) 0.693639 0.152896 4.536665 0.0000
NPL -1.742775 0.547229 -3.184730 0.0016
NIM 0.472961 0.255109 1.853958 0.0650
DEPTH -0.000286 7.33E-05 -3.894484 0.0001
Effects Specification
Cross-section fixed (first differences)
Mean dependent var 9.79E-05 S.D. dependent var 0.061687
S.E. of regression 0.077787 Sum squared resid 1.415882
J-statistic 4.456718 Instrument rank 7