-------------------------------------------------------------------------------
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
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