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求助壇友,理論上分析可能存在內(nèi)生性,使用解釋變量的滯后一期作為 工具變量,結(jié)果Hausman 檢驗(yàn)p值為0.98(看陳強(qiáng)老師的書說(shuō)存在異方差是hausman檢驗(yàn)結(jié)果不準(zhǔn)確),所以又做了GMM,系統(tǒng)GMM結(jié)果如下:
Arellano-Bond test for AR(1) in first differences: z = 1.55 Pr > z = 0.121
Arellano-Bond test for AR(2) in first differences: z = 0.33 Pr > z = 0.745
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Sargan test of overid. restrictions: chi2(34) = 693.09 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(34) = 25.08 Prob > chi2 = 0.867
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(27) = 23.95 Prob > chi2 = 0.633
Difference (null H = exogenous): chi2(7) = 1.13 Prob > chi2 = 0.992
iv(open FDI K Edu Govn Fin)
Hansen test excluding group: chi2(28) = 27.75 Prob > chi2 = 0.478
Difference (null H = exogenous): chi2(6) = -2.67 Prob > chi2 = 1.000
請(qǐng)問(wèn)這個(gè)結(jié)果怎么看啊,這是指不存在內(nèi)生性問(wèn)題嗎?
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