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

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