------------------------------------------------------------------------------- log: d:\panel_msc\cig.log log type: text opened on: 23 May 2006, 18:31:59 . set more off . . clear . use d:\panel_msc\cig.dta . . su * Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- state | 1380 26.82609 14.48057 1 51 year | 1380 77.5 8.658579 63 92 price | 1380 68.69993 41.98626 23.4 201.9 population | 1380 4537.113 4828.836 319 30703.3 popgt16 | 1380 3366.616 3641.847 215.2 22920 -------------+-------------------------------------------------------- cpi | 1380 73.59667 36.52933 30.6 140.3 ndi | 1380 7525.023 4747.859 1322.573 23074 cig_sales | 1380 123.9509 30.99105 53.4 297.9 pimin | 1380 62.89928 38.32313 23.4 178.5 . . iis state . tis year . tsset state year panel variable: state, 1 to 51 time variable: year, 63 to 92 . . xtsum * Variable | Mean Std. Dev. Min Max | Observations -----------------+--------------------------------------------+---------------- state overall | 26.82609 14.48057 1 51 | N = 1380 between | 14.63528 1 51 | n = 46 within | 0 26.82609 26.82609 | T = 30 | | year overall | 77.5 8.658579 63 92 | N = 1380 between | 0 77.5 77.5 | n = 46 within | 8.658579 63 92 | T = 30 | | price overall | 68.69993 41.98626 23.4 201.9 | N = 1380 between | 4.975477 54.59333 78.45333 | n = 46 within | 41.69666 17.04659 199.1133 | T = 30 | | popula~n overall | 4537.113 4828.836 319 30703.3 | N = 1380 between | 4806.843 414.8433 23149.27 | n = 46 within | 835.3623 -1056.16 12091.14 | T = 30 | | popgt16 overall | 3366.616 3641.847 215.2 22920 | N = 1380 between | 3599.646 298.9867 17339.16 | n = 46 within | 760.3231 -1900.547 8947.453 | T = 30 | | cpi overall | 73.59667 36.52933 30.6 140.3 | N = 1380 between | 0 73.59667 73.59667 | n = 46 within | 36.52933 30.6 140.3 | T = 30 | | ndi overall | 7525.023 4747.859 1322.573 23074 | N = 1380 between | 1122.898 5369.292 10254.7 | n = 46 within | 4616.035 184.0052 20459.47 | T = 30 | | cig_sa~s overall | 123.9509 30.99105 53.4 297.9 | N = 1380 between | 25.99042 67.87333 236.5233 | n = 46 within | 17.29591 31.12753 255.6309 | T = 30 | | pimin overall | 62.89928 38.32313 23.4 178.5 | N = 1380 between | 4.729382 54.5 74.31667 | n = 46 within | 38.03637 15.38261 172.3293 | T = 30 . xtdes, i(state) t(year) state: 1, 3, ..., 51 n = 46 year: 63, 64, ..., 92 T = 30 Delta(year) = 1; (92-63)+1 = 30 (state*year uniquely identifies each observation) Distribution of T_i: min 5% 25% 50% 75% 95% max 30 30 30 30 30 30 30 Freq. Percent Cum. | Pattern ---------------------------+-------------------------------- 46 100.00 100.00 | 111111111111111111111111111111 ---------------------------+-------------------------------- 46 100.00 | XXXXXXXXXXXXXXXXXXXXXXXXXXXXXX . . label var state "state number 1_51" . label var year "1963_1992" . label var price "price per pack of cigarettes" . label var population "population" . label var popgt16 "population above the age of 16" . label var cpi "consumer price index with 1983=100" . label var ndi "per capita disposable income" . label var cig "cigarette sales in packs per capita" . label var pimin "minimum price in adjoining states per pack of cigarettes" . . gen lcig=ln(cig) . gen lprice=ln(price) . gen lpmin=ln(pimin) . gen linc=ln(ndi) . . by state: gen lcig_1=lcig[_n-1] (46 missing values generated) . . tab year, gen(year) 1963_1992 | Freq. Percent Cum. ------------+----------------------------------- 63 | 46 3.33 3.33 64 | 46 3.33 6.67 65 | 46 3.33 10.00 66 | 46 3.33 13.33 67 | 46 3.33 16.67 68 | 46 3.33 20.00 69 | 46 3.33 23.33 70 | 46 3.33 26.67 71 | 46 3.33 30.00 72 | 46 3.33 33.33 73 | 46 3.33 36.67 74 | 46 3.33 40.00 75 | 46 3.33 43.33 76 | 46 3.33 46.67 77 | 46 3.33 50.00 78 | 46 3.33 53.33 79 | 46 3.33 56.67 80 | 46 3.33 60.00 81 | 46 3.33 63.33 82 | 46 3.33 66.67 83 | 46 3.33 70.00 84 | 46 3.33 73.33 85 | 46 3.33 76.67 86 | 46 3.33 80.00 87 | 46 3.33 83.33 88 | 46 3.33 86.67 89 | 46 3.33 90.00 90 | 46 3.33 93.33 91 | 46 3.33 96.67 92 | 46 3.33 100.00 ------------+----------------------------------- Total | 1,380 100.00 . . . . reg lcig lcig_1 lprice linc lpmin, robust /*OLS with robust std errors* > / Linear regression Number of obs = 1334 F( 4, 1329) = 5129.65 Prob > F = 0.0000 R-squared = 0.9669 Root MSE = .04089 ------------------------------------------------------------------------------ | Robust lcig | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig_1 | .9564002 .0083516 114.52 0.000 .9400165 .9727839 lprice | -.1064075 .0154337 -6.89 0.000 -.1366846 -.0761303 linc | .027558 .006501 4.24 0.000 .0148046 .0403114 lpmin | .0480059 .0134116 3.58 0.000 .0216957 .074316 _cons | .2029414 .0352667 5.75 0.000 .1337569 .2721258 ------------------------------------------------------------------------------ . reg lcig lcig_1 lprice linc lpmin year3-year30, robust /*OLS with time dum > mies*/ Linear regression Number of obs = 1334 F( 32, 1301) = 924.61 Prob > F = 0.0000 R-squared = 0.9733 Root MSE = .03712 ------------------------------------------------------------------------------ | Robust lcig | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig_1 | .9633425 .0080499 119.67 0.000 .9475503 .9791346 lprice | -.1223341 .017113 -7.15 0.000 -.1559062 -.0887621 linc | -.0117845 .0070615 -1.67 0.095 -.0256377 .0020688 lpmin | .03413 .0134042 2.55 0.011 .0078339 .0604262 year3 | .0463913 .0073101 6.35 0.000 .0320504 .0607323 year4 | .0324921 .010414 3.12 0.002 .0120619 .0529222 year5 | .0456976 .0079554 5.74 0.000 .0300908 .0613044 year6 | .0349931 .0078971 4.43 0.000 .0195007 .0504854 year7 | .0410086 .0086107 4.76 0.000 .0241162 .057901 year8 | .0355299 .0094795 3.75 0.000 .0169331 .0541266 year9 | .0875252 .0091561 9.56 0.000 .0695629 .1054876 year10 | .0997622 .0101646 9.81 0.000 .0798213 .1197031 year11 | .0868199 .0094495 9.19 0.000 .068282 .1053579 year12 | .1019737 .009675 10.54 0.000 .0829933 .120954 year13 | .0959957 .0102694 9.35 0.000 .0758493 .1161421 year14 | .1119113 .0111109 10.07 0.000 .0901141 .1337085 year15 | .094815 .0117042 8.10 0.000 .0718538 .1177762 year16 | .107321 .0133105 8.06 0.000 .0812086 .1334334 year17 | .0962397 .0135087 7.12 0.000 .0697384 .1227409 year18 | .119629 .0143483 8.34 0.000 .0914806 .1477773 year19 | .1237851 .0151819 8.15 0.000 .0940014 .1535688 year20 | .1167429 .0165128 7.07 0.000 .0843482 .1491376 year21 | .1077617 .0182894 5.89 0.000 .0718818 .1436417 year22 | .111268 .0199498 5.58 0.000 .0721306 .1504053 year23 | .1481164 .0205762 7.20 0.000 .1077502 .1884827 year24 | .1449956 .0217681 6.66 0.000 .1022912 .1876999 year25 | .1435354 .0228545 6.28 0.000 .0986998 .188371 year26 | .1424007 .0242666 5.87 0.000 .0947947 .1900067 year27 | .1450085 .0245881 5.90 0.000 .0967718 .1932452 year28 | .1483118 .026928 5.51 0.000 .0954847 .201139 year29 | .1712787 .0269129 6.36 0.000 .1184812 .2240761 year30 | .1973366 .0287679 6.86 0.000 .1409002 .2537731 _cons | .5330246 .0766375 6.96 0.000 .3826779 .6833713 ------------------------------------------------------------------------------ . . . xtreg lcig lcig_1 lprice linc lpmin year3-year30, fe robust /*WG* > / Fixed-effects (within) regression Number of obs = 1334 Group variable (i): state Number of groups = 46 R-sq: within = 0.9283 Obs per group: min = 29 between = 0.9859 avg = 29.0 overall = 0.9657 max = 29 F(32,1256) = 377.91 corr(u_i, Xb) = 0.4743 Prob > F = 0.0000 ------------------------------------------------------------------------------ | Robust lcig | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig_1 | .8302514 .0203191 40.86 0.000 .7903883 .8701146 lprice | -.2916822 .0292807 -9.96 0.000 -.3491266 -.2342377 linc | .1068698 .0276429 3.87 0.000 .0526384 .1611012 lpmin | .0354559 .0293257 1.21 0.227 -.0220769 .0929887 year3 | .0349876 .0080687 4.34 0.000 .0191578 .0508173 year4 | .0241611 .0119632 2.02 0.044 .0006909 .0476312 year5 | .0344115 .0092563 3.72 0.000 .0162519 .052571 year6 | .0274693 .0113948 2.41 0.016 .0051144 .0498243 year7 | .0294855 .0133758 2.20 0.028 .0032442 .0557268 year8 | .0284594 .0163447 1.74 0.082 -.0036064 .0605252 year9 | .0782826 .0188374 4.16 0.000 .0413265 .1152388 year10 | .0907398 .0214028 4.24 0.000 .0487506 .132729 year11 | .068927 .0232032 2.97 0.003 .0234056 .1144483 year12 | .082348 .0257196 3.20 0.001 .0318899 .1328061 year13 | .0816144 .0282412 2.89 0.004 .0262093 .1370196 year14 | .1027333 .0316365 3.25 0.001 .0406671 .1647995 year15 | .0824216 .0337762 2.44 0.015 .0161577 .1486856 year16 | .0994346 .0383412 2.59 0.010 .0242148 .1746545 year17 | .0839402 .0412669 2.03 0.042 .0029806 .1648998 year18 | .1045639 .0442035 2.37 0.018 .0178431 .1912847 year19 | .1061319 .0475052 2.23 0.026 .0129337 .1993302 year20 | .1101622 .0510264 2.16 0.031 .0100559 .2102686 year21 | .1178478 .0557521 2.11 0.035 .0084702 .2272253 year22 | .128304 .0604959 2.12 0.034 .0096198 .2469881 year23 | .1626721 .0629023 2.59 0.010 .0392669 .2860773 year24 | .1629994 .0655827 2.49 0.013 .0343357 .291663 year25 | .1633547 .0687611 2.38 0.018 .0284555 .2982539 year26 | .1633309 .0713146 2.29 0.022 .023422 .3032397 year27 | .1684436 .0745843 2.26 0.024 .0221201 .3147672 year28 | .1745241 .0783703 2.23 0.026 .020773 .3282753 year29 | .1976922 .080703 2.45 0.014 .0393646 .3560198 year30 | .2330318 .0851184 2.74 0.006 .0660419 .4000216 _cons | .8204374 .2363252 3.47 0.001 .3568017 1.284073 -------------+---------------------------------------------------------------- sigma_u | .02738301 sigma_e | .03504776 rho | .37905103 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . . . xtreg lcig lcig_1 lprice linc lpmin year3-year30, re theta /*gls*/ Random-effects GLS regression Number of obs = 1334 Group variable (i): state Number of groups = 46 R-sq: within = 0.9223 Obs per group: min = 29 between = 0.9982 avg = 29.0 overall = 0.9733 max = 29 Random effects u_i ~ Gaussian Wald chi2(32) = 47387.23 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 theta = 0 ------------------------------------------------------------------------------ lcig | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig_1 | .9633425 .0059916 160.78 0.000 .9515992 .9750857 lprice | -.1223341 .0151205 -8.09 0.000 -.1519698 -.0926985 linc | -.0117845 .0077479 -1.52 0.128 -.0269702 .0034012 lpmin | .03413 .0131094 2.60 0.009 .008436 .0598241 year3 | .0463913 .0077653 5.97 0.000 .0311716 .061611 year4 | .0324921 .0078181 4.16 0.000 .0171689 .0478152 year5 | .0456976 .0078976 5.79 0.000 .0302185 .0611767 year6 | .0349931 .0081282 4.31 0.000 .0190621 .050924 year7 | .0410086 .0082972 4.94 0.000 .0247463 .0572709 year8 | .0355299 .0087563 4.06 0.000 .0183679 .0526918 year9 | .0875252 .0091339 9.58 0.000 .0696231 .1054273 year10 | .0997622 .0094688 10.54 0.000 .0812038 .1183206 year11 | .0868199 .0098259 8.84 0.000 .0675616 .1060783 year12 | .1019737 .0101984 10.00 0.000 .0819852 .1219621 year13 | .0959957 .0108688 8.83 0.000 .0746933 .1172982 year14 | .1119113 .0116437 9.61 0.000 .0890901 .1347325 year15 | .094815 .0121116 7.83 0.000 .0710766 .1185534 year16 | .107321 .0132953 8.07 0.000 .0812626 .1333794 year17 | .0962397 .014 6.87 0.000 .0688002 .1236792 year18 | .119629 .0147369 8.12 0.000 .0907452 .1485127 year19 | .1237851 .015508 7.98 0.000 .0933901 .1541801 year20 | .1167429 .0166518 7.01 0.000 .084106 .1493798 year21 | .1077617 .0182802 5.89 0.000 .0719331 .1435903 year22 | .111268 .0198581 5.60 0.000 .0723468 .1501891 year23 | .1481164 .0205808 7.20 0.000 .1077787 .1884541 year24 | .1449956 .0214945 6.75 0.000 .1028671 .187124 year25 | .1435354 .022253 6.45 0.000 .0999203 .1871505 year26 | .1424007 .0232091 6.14 0.000 .0969117 .1878897 year27 | .1450085 .0242787 5.97 0.000 .097423 .1925939 year28 | .1483118 .0255028 5.82 0.000 .0983273 .1982963 year29 | .1712787 .0261654 6.55 0.000 .1199954 .2225619 year30 | .1973366 .027848 7.09 0.000 .1427556 .2519176 _cons | .5330246 .0678634 7.85 0.000 .4000148 .6660344 -------------+---------------------------------------------------------------- sigma_u | 0 sigma_e | .03504776 rho | 0 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . xtreg lcig lcig_1 lprice linc lpmin year3-year30, re theta robust /*gls*/ Random-effects GLS regression Number of obs = 1334 Group variable (i): state Number of groups = 46 R-sq: within = 0.9223 Obs per group: min = 29 between = 0.9982 avg = 29.0 overall = 0.9733 max = 29 Random effects u_i ~ Gaussian Wald chi2(33) = 3.01e+07 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 theta = 0 ------------------------------------------------------------------------------ | Robust lcig | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig_1 | .9633425 .0080499 119.67 0.000 .947565 .9791199 lprice | -.1223341 .017113 -7.15 0.000 -.155875 -.0887933 linc | -.0117845 .0070615 -1.67 0.095 -.0256249 .0020559 lpmin | .03413 .0134042 2.55 0.011 .0078583 .0604017 year3 | .0463913 .0073101 6.35 0.000 .0320637 .060719 year4 | .0324921 .010414 3.12 0.002 .0120809 .0529032 year5 | .0456976 .0079554 5.74 0.000 .0301053 .0612899 year6 | .0349931 .0078971 4.43 0.000 .0195151 .050471 year7 | .0410086 .0086107 4.76 0.000 .0241319 .0578853 year8 | .0355299 .0094795 3.75 0.000 .0169504 .0541093 year9 | .0875252 .0091561 9.56 0.000 .0695796 .1054708 year10 | .0997622 .0101646 9.81 0.000 .0798398 .1196845 year11 | .0868199 .0094495 9.19 0.000 .0682993 .1053406 year12 | .1019737 .009675 10.54 0.000 .083011 .1209364 year13 | .0959957 .0102694 9.35 0.000 .0758681 .1161233 year14 | .1119113 .0111109 10.07 0.000 .0901344 .1336882 year15 | .094815 .0117042 8.10 0.000 .0718751 .1177549 year16 | .107321 .0133105 8.06 0.000 .0812329 .1334091 year17 | .0962397 .0135087 7.12 0.000 .0697631 .1227162 year18 | .119629 .0143483 8.34 0.000 .0915068 .1477511 year19 | .1237851 .0151819 8.15 0.000 .0940291 .1535411 year20 | .1167429 .0165128 7.07 0.000 .0843784 .1491074 year21 | .1077617 .0182894 5.89 0.000 .0719151 .1436083 year22 | .111268 .0199498 5.58 0.000 .072167 .1503689 year23 | .1481164 .0205762 7.20 0.000 .1077877 .1884451 year24 | .1449956 .0217681 6.66 0.000 .1023309 .1876602 year25 | .1435354 .0228545 6.28 0.000 .0987415 .1883293 year26 | .1424007 .0242666 5.87 0.000 .094839 .1899624 year27 | .1450085 .0245881 5.90 0.000 .0968167 .1932003 year28 | .1483118 .026928 5.51 0.000 .0955338 .2010898 year29 | .1712787 .0269129 6.36 0.000 .1185304 .224027 year30 | .1973366 .0287679 6.86 0.000 .1409527 .2537206 _cons | .5330246 .0766375 6.96 0.000 .3828178 .6832314 -------------+---------------------------------------------------------------- sigma_u | 0 sigma_e | .03504776 rho | 0 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . . . . *STRAIGHT IV . *=========== . by state: gen lprice_1=lprice[_n-1] (46 missing values generated) . by state: gen linc_1=linc[_n-1] (46 missing values generated) . by state: gen lpmin_1=lpmin[_n-1] (46 missing values generated) . ivreg lcig lprice linc lpmin year3-year30 (lcig_1 =linc_1 lprice_1 lpmin_1) Instrumental variables (2SLS) regression Source | SS df MS Number of obs = 1334 -------------+------------------------------ F( 32, 1301) = 169.34 Model | 59.8298073 32 1.86968148 Prob > F = 0.0000 Residual | 7.25324579 1301 .005575131 R-squared = 0.8919 -------------+------------------------------ Adj R-squared = 0.8892 Total | 67.0830531 1333 .050324871 Root MSE = .07467 ------------------------------------------------------------------------------ lcig | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig_1 | .5861426 .0596325 9.83 0.000 .4691561 .703129 lprice | -.575889 .0765279 -7.53 0.000 -.7260206 -.4257574 linc | .2118779 .0379752 5.58 0.000 .1373785 .2863773 lpmin | .0837296 .0274659 3.05 0.002 .0298473 .1376119 year3 | .0219252 .0160731 1.36 0.173 -.0096069 .0534572 year4 | .0207135 .0158319 1.31 0.191 -.0103454 .0517724 year5 | .0299362 .0160729 1.86 0.063 -.0015955 .0614679 year6 | .0325526 .0163547 1.99 0.047 .0004681 .0646371 year7 | .0330721 .0167356 1.98 0.048 .0002404 .0659038 year8 | .0428967 .0176506 2.43 0.015 .0082699 .0775235 year9 | .0930046 .0183929 5.06 0.000 .0569215 .1290876 year10 | .1122645 .0191451 5.86 0.000 .0747059 .1498232 year11 | .0876155 .0197657 4.43 0.000 .0488394 .1263916 year12 | .1038078 .0205166 5.06 0.000 .0635585 .1440571 year13 | .1168766 .022101 5.29 0.000 .0735192 .160234 year14 | .1501716 .0241595 6.22 0.000 .1027758 .1975674 year15 | .1317804 .0250265 5.27 0.000 .0826836 .1808772 year16 | .1616257 .0280349 5.77 0.000 .1066272 .2166243 year17 | .1458373 .0291901 5.00 0.000 .0885726 .2031021 year18 | .1667564 .030529 5.46 0.000 .106865 .2266478 year19 | .17104 .0320417 5.34 0.000 .108181 .2338991 year20 | .1940254 .0355691 5.45 0.000 .1242463 .2638046 year21 | .2280558 .0412197 5.53 0.000 .1471915 .3089202 year22 | .2511185 .045437 5.53 0.000 .1619807 .3402563 year23 | .2825577 .046338 6.10 0.000 .1916523 .3734631 year24 | .2894303 .0486783 5.95 0.000 .1939338 .3849269 year25 | .2945985 .0505055 5.83 0.000 .1955174 .3936796 year26 | .2991523 .052618 5.69 0.000 .1959268 .4023778 year27 | .309594 .0550866 5.62 0.000 .2015256 .4176624 year28 | .3218439 .0579104 5.56 0.000 .2082359 .4354519 year29 | .3449323 .059103 5.84 0.000 .2289847 .4608799 year30 | .3961516 .0639184 6.20 0.000 .2707571 .5215461 _cons | 1.976802 .2619265 7.55 0.000 1.462958 2.490647 ------------------------------------------------------------------------------ Instrumented: lcig_1 Instruments: lprice linc lpmin year3 year4 year5 year6 year7 year8 year9 year10 year11 year12 year13 year14 year15 year16 year17 year18 year19 year20 year21 year22 year23 year24 year25 year26 year27 year28 year29 year30 linc_1 lprice_1 lpmin_1 ------------------------------------------------------------------------------ . ivreg lcig lprice linc lpmin (lcig_1 =linc_1 lprice_1 lpmin_1) Instrumental variables (2SLS) regression Source | SS df MS Number of obs = 1334 -------------+------------------------------ F( 4, 1329) = 1088.89 Model | 58.3764908 4 14.5941227 Prob > F = 0.0000 Residual | 8.7065623 1329 .006551213 R-squared = 0.8702 -------------+------------------------------ Adj R-squared = 0.8698 Total | 67.0830531 1333 .050324871 Root MSE = .08094 ------------------------------------------------------------------------------ lcig | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig_1 | .555324 .0608242 9.13 0.000 .4360022 .6746458 lprice | -.5262437 .0686526 -7.67 0.000 -.660923 -.3915644 linc | .2573329 .0364611 7.06 0.000 .1858052 .3288605 lpmin | .1774131 .0311063 5.70 0.000 .1163904 .2384359 _cons | 1.316401 .1756801 7.49 0.000 .9717601 1.661041 ------------------------------------------------------------------------------ Instrumented: lcig_1 Instruments: lprice linc lpmin linc_1 lprice_1 lpmin_1 ------------------------------------------------------------------------------ . . *ARELLANO-BOND ESTIMATOR . *======================= . xtabond lcig lprice linc lpmin year3-year29 Arellano-Bond dynamic panel-data estimation Number of obs = 1288 Group variable (i): state Number of groups = 46 Wald chi2(31) = 11361.83 Time variable (t): year Obs per group: min = 28 avg = 28 max = 28 One-step results ------------------------------------------------------------------------------ D.lcig | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig | LD. | .8325297 .016091 51.74 0.000 .8009919 .8640675 lprice | D1. | -.3701285 .0309829 -11.95 0.000 -.4308539 -.309403 linc | D1. | .134329 .0356307 3.77 0.000 .064494 .2041639 lpmin | D1. | -.0277983 .0398965 -0.70 0.486 -.1059941 .0503974 year3 | D1. | .0184147 .0078218 2.35 0.019 .0030842 .0337453 year4 | D1. | -.0030568 .0080859 -0.38 0.705 -.018905 .0127913 year5 | D1. | -.0063108 .0091987 -0.69 0.493 -.02434 .0117184 year6 | D1. | -.020854 .0088979 -2.34 0.019 -.0382936 -.0034145 year7 | D1. | -.0325041 .0103095 -3.15 0.002 -.0527104 -.0122978 year8 | D1. | -.0394092 .0096389 -4.09 0.000 -.058301 -.0205173 year9 | D1. | .0000869 .0102798 0.01 0.993 -.0200612 .0202351 year10 | D1. | -.0005845 .0114492 -0.05 0.959 -.0230246 .0218556 year11 | D1. | -.0399489 .0133334 -3.00 0.003 -.0660819 -.0138159 year12 | D1. | -.0398137 .0147221 -2.70 0.007 -.0686684 -.0109589 year13 | D1. | -.0486456 .0143696 -3.39 0.001 -.0768095 -.0204818 year14 | D1. | -.0341734 .0136525 -2.50 0.012 -.0609318 -.0074151 year15 | D1. | -.068553 .0151368 -4.53 0.000 -.0982205 -.0388856 year16 | D1. | -.0550506 .0132994 -4.14 0.000 -.0811169 -.0289842 year17 | D1. | -.0822022 .014045 -5.85 0.000 -.1097299 -.0546746 year18 | D1. | -.0715338 .0144862 -4.94 0.000 -.0999261 -.0431414 year19 | D1. | -.0809176 .0151681 -5.33 0.000 -.1106465 -.0511888 year20 | D1. | -.0791468 .0133687 -5.92 0.000 -.1053489 -.0529446 year21 | D1. | -.0676333 .0103026 -6.56 0.000 -.0878259 -.0474406 year22 | D1. | -.0564876 .0086984 -6.49 0.000 -.0735361 -.0394392 year23 | D1. | -.0308683 .0086622 -3.56 0.000 -.0478459 -.0138906 year24 | D1. | -.0373401 .008265 -4.52 0.000 -.0535392 -.021141 year25 | D1. | -.0455264 .0083818 -5.43 0.000 -.0619545 -.0290983 year26 | D1. | -.0526288 .0083038 -6.34 0.000 -.0689039 -.0363536 year27 | D1. | -.0527982 .0079436 -6.65 0.000 -.0683674 -.0372291 year28 | D1. | -.0506965 .0075419 -6.72 0.000 -.0654783 -.0359146 year29 | D1. | -.0361605 .0078703 -4.59 0.000 -.0515859 -.0207351 _cons | .0155246 .0043593 3.56 0.000 .0069804 .0240687 ------------------------------------------------------------------------------ Sargan test of over-identifying restrictions: chi2(405) = 547.87 Prob > chi2 = 0.0000 Arellano-Bond test that average autocovariance in residuals of order 1 is 0: H0: no autocorrelation z = -16.07 Pr > z = 0.0000 Arellano-Bond test that average autocovariance in residuals of order 2 is 0: H0: no autocorrelation z = 2.43 Pr > z = 0.0153 . xtabond lcig lprice linc lpmin year3-year29, robust Arellano-Bond dynamic panel-data estimation Number of obs = 1288 Group variable (i): state Number of groups = 46 Wald chi2(31) = 16279.79 Time variable (t): year Obs per group: min = 28 avg = 28 max = 28 One-step results ------------------------------------------------------------------------------ | Robust D.lcig | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig | LD. | .8325297 .028453 29.26 0.000 .7767629 .8882965 lprice | D1. | -.3701285 .0426621 -8.68 0.000 -.4537447 -.2865122 linc | D1. | .134329 .0611792 2.20 0.028 .0144199 .2542381 lpmin | D1. | -.0277983 .0585046 -0.48 0.635 -.1424653 .0868687 year3 | D1. | .0184147 .0071478 2.58 0.010 .0044054 .0324241 year4 | D1. | -.0030568 .007758 -0.39 0.694 -.0182623 .0121486 year5 | D1. | -.0063108 .0112901 -0.56 0.576 -.028439 .0158174 year6 | D1. | -.020854 .0110579 -1.89 0.059 -.0425271 .0008191 year7 | D1. | -.0325041 .0128258 -2.53 0.011 -.0576422 -.007366 year8 | D1. | -.0394092 .0132856 -2.97 0.003 -.0654484 -.01337 year9 | D1. | .0000869 .0112938 0.01 0.994 -.0220486 .0222224 year10 | D1. | -.0005845 .0154753 -0.04 0.970 -.0309154 .0297465 year11 | D1. | -.0399489 .0186682 -2.14 0.032 -.0765379 -.00336 year12 | D1. | -.0398137 .0221096 -1.80 0.072 -.0831477 .0035204 year13 | D1. | -.0486456 .0204004 -2.38 0.017 -.0886296 -.0086617 year14 | D1. | -.0341734 .0188329 -1.81 0.070 -.0710852 .0027383 year15 | D1. | -.068553 .0231656 -2.96 0.003 -.1139568 -.0231493 year16 | D1. | -.0550506 .01855 -2.97 0.003 -.0914079 -.0186933 year17 | D1. | -.0822022 .019361 -4.25 0.000 -.1201491 -.0442554 year18 | D1. | -.0715338 .0203399 -3.52 0.000 -.1113992 -.0316684 year19 | D1. | -.0809176 .0211686 -3.82 0.000 -.1224074 -.0394279 year20 | D1. | -.0791468 .0184483 -4.29 0.000 -.1153047 -.0429888 year21 | D1. | -.0676333 .0145774 -4.64 0.000 -.0962045 -.039062 year22 | D1. | -.0564876 .0115993 -4.87 0.000 -.0792219 -.0337534 year23 | D1. | -.0308683 .0107563 -2.87 0.004 -.0519502 -.0097863 year24 | D1. | -.0373401 .0103346 -3.61 0.000 -.0575956 -.0170847 year25 | D1. | -.0455264 .0100475 -4.53 0.000 -.0652192 -.0258337 year26 | D1. | -.0526288 .0125184 -4.20 0.000 -.0771643 -.0280932 year27 | D1. | -.0527982 .0087163 -6.06 0.000 -.0698818 -.0357147 year28 | D1. | -.0506965 .0108613 -4.67 0.000 -.0719841 -.0294088 year29 | D1. | -.0361605 .0091254 -3.96 0.000 -.054046 -.018275 _cons | .0155246 .0066464 2.34 0.020 .0024978 .0285514 ------------------------------------------------------------------------------ Arellano-Bond test that average autocovariance in residuals of order 1 is 0: H0: no autocorrelation z = -5.08 Pr > z = 0.0000 Arellano-Bond test that average autocovariance in residuals of order 2 is 0: H0: no autocorrelation z = 2.14 Pr > z = 0.0322 . xtabond lcig lprice linc lpmin year3-year29, twostep Arellano-Bond dynamic panel-data estimation Number of obs = 1288 Group variable (i): state Number of groups = 46 Wald chi2(31) = 23454.46 Time variable (t): year Obs per group: min = 28 avg = 28 max = 28 Two-step results ------------------------------------------------------------------------------ D.lcig | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig | LD. | .814103 .1244615 6.54 0.000 .570163 1.058043 lprice | D1. | -.394366 .0451586 -8.73 0.000 -.4828753 -.3058567 linc | D1. | .2491133 .2120578 1.17 0.240 -.1665123 .6647389 lpmin | D1. | .0067505 .0588754 0.11 0.909 -.1086431 .122144 year3 | D1. | .0178509 .0061513 2.90 0.004 .0057946 .0299071 year4 | D1. | -.0091078 .007092 -1.28 0.199 -.0230079 .0047923 year5 | D1. | .0005518 .0072942 0.08 0.940 -.0137445 .0148482 year6 | D1. | -.0152917 .0089374 -1.71 0.087 -.0328087 .0022252 year7 | D1. | -.0249914 .0118645 -2.11 0.035 -.0482454 -.0017374 year8 | D1. | -.0349407 .0104745 -3.34 0.001 -.0554704 -.0144111 year9 | D1. | .0055688 .0096084 0.58 0.562 -.0132634 .0244009 year10 | D1. | .005732 .0146861 0.39 0.696 -.0230522 .0345161 year11 | D1. | -.0369727 .0130164 -2.84 0.005 -.0624843 -.0114611 year12 | D1. | -.0310964 .0149594 -2.08 0.038 -.0604163 -.0017764 year13 | D1. | -.0465034 .0167407 -2.78 0.005 -.0793147 -.0136922 year14 | D1. | -.0329036 .0183597 -1.79 0.073 -.0688881 .0030808 year15 | D1. | -.0609556 .0199215 -3.06 0.002 -.100001 -.0219101 year16 | D1. | -.0574828 .0198615 -2.89 0.004 -.0964106 -.0185549 year17 | D1. | -.0893871 .0215599 -4.15 0.000 -.1316437 -.0471305 year18 | D1. | -.0788145 .0227699 -3.46 0.001 -.1234426 -.0341863 year19 | D1. | -.0938878 .0263515 -3.56 0.000 -.1455358 -.0422397 year20 | D1. | -.0874361 .024261 -3.60 0.000 -.1349867 -.0398854 year21 | D1. | -.0718709 .0204971 -3.51 0.000 -.1120444 -.0316974 year22 | D1. | -.0676217 .0199633 -3.39 0.001 -.106749 -.0284944 year23 | D1. | -.0383442 .0158307 -2.42 0.015 -.0693718 -.0073166 year24 | D1. | -.0400613 .01494 -2.68 0.007 -.0693432 -.0107794 year25 | D1. | -.0497554 .0119608 -4.16 0.000 -.0731981 -.0263128 year26 | D1. | -.0516857 .0122997 -4.20 0.000 -.0757928 -.0275787 year27 | D1. | -.0543346 .0098293 -5.53 0.000 -.0735997 -.0350696 year28 | D1. | -.049265 .0075658 -6.51 0.000 -.0640937 -.0344363 year29 | D1. | -.0382468 .0070575 -5.42 0.000 -.0520792 -.0244143 _cons | .0063303 .0161783 0.39 0.696 -.0253787 .0380392 ------------------------------------------------------------------------------ Warning: Arellano and Bond recommend using one-step results for inference on coefficients Sargan test of over-identifying restrictions: chi2(405) = 14.70 Prob > chi2 = 1.0000 Arellano-Bond test that average autocovariance in residuals of order 1 is 0: H0: no autocorrelation z = -4.25 Pr > z = 0.0000 Arellano-Bond test that average autocovariance in residuals of order 2 is 0: H0: no autocorrelation z = 1.89 Pr > z = 0.0590 . . xtabond lcig lprice linc lpmin year3-year29, maxldep(1) maxlags(1) Arellano-Bond dynamic panel-data estimation Number of obs = 1288 Group variable (i): state Number of groups = 46 Wald chi2(31) = 8059.92 Time variable (t): year Obs per group: min = 28 avg = 28 max = 28 One-step results ------------------------------------------------------------------------------ D.lcig | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig | LD. | .7047875 .0358216 19.67 0.000 .6345784 .7749966 lprice | D1. | -.4335329 .0354105 -12.24 0.000 -.5029363 -.3641296 linc | D1. | .1847562 .0502777 3.67 0.000 .0862137 .2832987 lpmin | D1. | .0294241 .0475632 0.62 0.536 -.063798 .1226462 year3 | D1. | .0153379 .0076801 2.00 0.046 .0002852 .0303906 year4 | D1. | -.002295 .0080502 -0.29 0.776 -.018073 .013483 year5 | D1. | -.0045067 .009586 -0.47 0.638 -.023295 .0142815 year6 | D1. | -.0174912 .0092136 -1.90 0.058 -.0355496 .0005672 year7 | D1. | -.0287015 .0110886 -2.59 0.010 -.0504348 -.0069682 year8 | D1. | -.0352278 .0102625 -3.43 0.001 -.055342 -.0151137 year9 | D1. | .0029667 .011127 0.27 0.790 -.0188419 .0247752 year10 | D1. | .0064969 .0126251 0.51 0.607 -.0182478 .0312416 year11 | D1. | -.0308213 .0151961 -2.03 0.043 -.0606051 -.0010375 year12 | D1. | -.028157 .0169525 -1.66 0.097 -.0613833 .0050693 year13 | D1. | -.033182 .0167188 -1.98 0.047 -.0659502 -.0004137 year14 | D1. | -.016654 .0159869 -1.04 0.298 -.0479878 .0146798 year15 | D1. | -.0485746 .0179888 -2.70 0.007 -.083832 -.0133172 year16 | D1. | -.0359715 .0161561 -2.23 0.026 -.0676369 -.0043061 year17 | D1. | -.0639113 .017279 -3.70 0.000 -.0977775 -.0300451 year18 | D1. | -.0548906 .0178093 -3.08 0.002 -.0897961 -.019985 year19 | D1. | -.0642185 .0189056 -3.40 0.001 -.1012727 -.0271643 year20 | D1. | -.0602257 .0168179 -3.58 0.000 -.0931881 -.0272632 year21 | D1. | -.0478396 .0132501 -3.61 0.000 -.0738093 -.0218699 year22 | D1. | -.0406651 .011213 -3.63 0.000 -.0626423 -.018688 year23 | D1. | -.0187751 .0104821 -1.79 0.073 -.0393196 .0017694 year24 | D1. | -.025388 .0097046 -2.62 0.009 -.0444087 -.0063673 year25 | D1. | -.0336163 .0095159 -3.53 0.000 -.0522672 -.0149654 year26 | D1. | -.0424289 .0091791 -4.62 0.000 -.0604196 -.0244382 year27 | D1. | -.0451307 .0083661 -5.39 0.000 -.0615279 -.0287334 year28 | D1. | -.0464161 .0075526 -6.15 0.000 -.0612188 -.0316133 year29 | D1. | -.0339936 .0076954 -4.42 0.000 -.0490763 -.018911 _cons | .0112918 .0053377 2.12 0.034 .0008302 .0217534 ------------------------------------------------------------------------------ Sargan test of over-identifying restrictions: chi2(27) = 78.22 Prob > chi2 = 0.0000 Arellano-Bond test that average autocovariance in residuals of order 1 is 0: H0: no autocorrelation z = -17.51 Pr > z = 0.0000 Arellano-Bond test that average autocovariance in residuals of order 2 is 0: H0: no autocorrelation z = 2.35 Pr > z = 0.0187 . xtabond lcig lprice linc lpmin year3-year29, maxldep(1) maxlags(1) twostep Arellano-Bond dynamic panel-data estimation Number of obs = 1288 Group variable (i): state Number of groups = 46 Wald chi2(31) = 65972.11 Time variable (t): year Obs per group: min = 28 avg = 28 max = 28 Two-step results ------------------------------------------------------------------------------ D.lcig | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lcig | LD. | .496206 .0715926 6.93 0.000 .355887 .636525 lprice | D1. | -.4284842 .0323701 -13.24 0.000 -.4919284 -.36504 linc | D1. | .2226971 .038417 5.80 0.000 .1474011 .2979931 lpmin | D1. | .0303768 .0467817 0.65 0.516 -.0613136 .1220673 year3 | D1. | .0129741 .005526 2.35 0.019 .0021434 .0238049 year4 | D1. | -.0078963 .005967 -1.32 0.186 -.0195914 .0037987 year5 | D1. | -.0005696 .0075397 -0.08 0.940 -.0153472 .0142079 year6 | D1. | -.011842 .0056322 -2.10 0.036 -.0228809 -.0008032 year7 | D1. | -.0245335 .0062028 -3.96 0.000 -.0366909 -.0123762 year8 | D1. | -.0274187 .0093971 -2.92 0.004 -.0458367 -.0090007 year9 | D1. | .0042935 .0064392 0.67 0.505 -.0083271 .016914 year10 | D1. | .0141469 .0110531 1.28 0.201 -.0075167 .0358106 year11 | D1. | -.0136007 .0135663 -1.00 0.316 -.0401901 .0129887 year12 | D1. | -.0022526 .0148786 -0.15 0.880 -.0314141 .0269088 year13 | D1. | -.0030193 .0161594 -0.19 0.852 -.0346913 .0286526 year14 | D1. | .014014 .0157184 0.89 0.373 -.0167934 .0448214 year15 | D1. | -.0057828 .0186824 -0.31 0.757 -.0423996 .030834 year16 | D1. | .0073011 .0166125 0.44 0.660 -.0252589 .0398611 year17 | D1. | -.0238095 .0177001 -1.35 0.179 -.0585011 .0108821 year18 | D1. | -.0140286 .0182461 -0.77 0.442 -.0497903 .021733 year19 | D1. | -.0287374 .0190975 -1.50 0.132 -.0661678 .008693 year20 | D1. | -.0192754 .0177892 -1.08 0.279 -.0541417 .0155909 year21 | D1. | -.0059434 .0161358 -0.37 0.713 -.037569 .0256821 year22 | D1. | -.0060683 .0140974 -0.43 0.667 -.0336988 .0215622 year23 | D1. | .0074341 .0109706 0.68 0.498 -.0140679 .028936 year24 | D1. | .0040729 .0110953 0.37 0.714 -.0176735 .0258192 year25 | D1. | -.0095281 .0090546 -1.05 0.293 -.0272749 .0082186 year26 | D1. | -.0177097 .0111833 -1.58 0.113 -.0396285 .0042092 year27 | D1. | -.0302091 .0071992 -4.20 0.000 -.0443192 -.016099 year28 | D1. | -.0365181 .0059259 -6.16 0.000 -.0481326 -.0249035 year29 | D1. | -.0302026 .0043788 -6.90 0.000 -.0387849 -.0216204 _cons | .0064813 .0034146 1.90 0.058 -.0002112 .0131738 ------------------------------------------------------------------------------ Warning: Arellano and Bond recommend using one-step results for inference on coefficients Sargan test of over-identifying restrictions: chi2(27) = 11.24 Prob > chi2 = 0.9967 Arellano-Bond test that average autocovariance in residuals of order 1 is 0: H0: no autocorrelation z = -4.36 Pr > z = 0.0000 Arellano-Bond test that average autocovariance in residuals of order 2 is 0: H0: no autocorrelation z = 1.84 Pr > z = 0.0653 . . . . . . . . end of do-file . exit, clear