3 weeks ago
Hi Expert Fellas;
I have a panel of some firms (GVKEY) in a period of time (FYEAR) with some variables related to them. here is a link to a sample of my data (real database has more than 60000 rows):
I tried to run a GMM Estimation using the following code:
proc panel data=Lev_lag outest=outst noprint; output out=outx PREDICTED=predict; inst depvar(LEVEL); MM: model Lev = Lev_1 MTBV Size Tangibility Profitability Cashes Tax TB3Ms / gmm nolevels twostep maxband=3 noint fixtwo ; id gvkey fyear; run;
"outx" is an output that shows both actual and predicted values of my model. now, the problems are:
1. as it is depicted in the following picture, there is a huge difference between actual and predicted values of my dependent variable. this is, while all the variables have significant coefficients in the model.
2. I wanted to have a GMM model with Fixed effect for both Year and Firm. So, I added "fixtwo" to my model options. However, the output file shows me another result only for Fixtwo model which is seperated from the GMM results!
as you can see, the results for fixed effect model are logical, and actual model is pretty similar to the predicted model (good fit). However, It's not GMM anymore!
Now, would you please guide me through this problem? I'm not sure what step of my work is wrong which gives me this model.