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. xtabond2 lnz llnz roa la size inter3 gdp m2, gmm( lnz roa la inter3 , lag(2 3)collapse) iv(gdp size m2)twostep robust s
> mall
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Dynamic panel-data estimation, two-step system GMM
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Group variable: bank Number of obs = 623
Time variable : year Number of groups = 76
Number of instruments = 16 Obs per group: min = 3
F(7, 75) = 39.66 avg = 8.20
Prob > F = 0.000 max = 10
------------------------------------------------------------------------------
| Corrected
lnz | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
llnz | .68236 .0726337 9.39 0.000 .5376663 .8270537
roa | .6920266 .1964175 3.52 0.001 .3007429 1.08331
la | -.0033063 .0106794 -0.31 0.758 -.0245809 .0179682
size | .0555975 .0349243 1.59 0.116 -.0139754 .1251704
inter3 | -.0344484 .0168452 -2.04 0.044 -.0680058 -.000891
gdp | .0988247 .0490015 2.02 0.047 .0012087 .1964407
m2 | -.0258309 .0075339 -3.43 0.001 -.0408393 -.0108226
_cons | -.0663269 .5122853 -0.13 0.897 -1.086852 .9541978
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(gdp size m2)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/3).(lnz roa la inter3) collapsed
Instruments for levels equation
Standard
gdp size m2
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(lnz roa la inter3) collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -5.63 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -2.62 Pr > z = 0.009
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Sargan test of overid. restrictions: chi2(8) = 7.35 Prob > chi2 = 0.499
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(8) = 7.80 Prob > chi2 = 0.453
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(4) = 5.74 Prob > chi2 = 0.220
Difference (null H = exogenous): chi2(4) = 2.07 Prob > chi2 = 0.724
iv(gdp size m2)
Hansen test excluding group: chi2(5) = 6.07 Prob > chi2 = 0.299
Difference (null H = exogenous): chi2(3) = 1.73 Prob > chi2 = 0.630
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