Hello every one.
I am PhD candidate in finance. I using this command in stata. The sample is compose by N = 88 country and T= 37 years
xtabond2 Index L1.Index L2.Index Savings private Value FDI MO invest Governst PowerD Individ mas Uncert Longter , gmm(L1.Index L2.Index, laglimits(2 .) collapse) iv( PowerD Individ mas Uncert Longter, equation(level)) twostep orthogonal small
Arellano-Bond test for AR(1) in first differences: z = -0.99 Pr > z = 0.323
Arellano-Bond test for AR(2) in first differences: z = -1.03 Pr > z = 0.304
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Sargan test of overid. restrictions: chi2(27) = 2.83 Prob > chi2 = 1.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(27) = 36.62 Prob > chi2 = 0.102
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(25) = 27.78 Prob > chi2 = 0.318
Difference (null H = exogenous): chi2(2) = 8.84 Prob > chi2 = 0.012
wait for usefull help