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xtabond2 pe l.pe lncomp, gmm(lncomp, collapse) iv(d.lncomp) robust twostep
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Dynamic panel-data estimation, two-step system GMM
Group variable: code Number of obs = 12858
Time variable : year Number of groups = 1772
Number of instruments = 14 Obs per group: min = 1
Wald chi2(2) = 187.47 avg = 7.26
Prob > chi2 = 0.000 max = 11
Corrected
pe Coef. Std. Err. z P>z [95% Conf. Interval]
pe
L1. .7166423 .1143033 6.27 0.000 .4926119 .9406727
lncomp .1104304 .0096764 11.41 0.000 .091465 .1293959
_cons -1.396362 .1272318 -10.97 0.000 -1.645732 -1.146993
Instruments for first differences equation
Standard
D.(D.lncomp)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/.).lncomp collapsed
Instruments for levels equation
Standard
_cons
D.lncomp
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.lncomp collapsed
Arellano-Bond test for AR(1) in first differences: z = -3.65 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 1.83 Pr > z = 0.067
Sargan test of overid. restrictions: chi2(11) = 95.28 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(11) = 96.19 Prob > chi2 = 0.000
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(10) = 75.20 Prob > chi2 = 0.000
Difference (null H = exogenous): chi2(1) = 20.99 Prob > chi2 = 0.000
iv(D.lncomp)
Hansen test excluding group: chi2(10) = 63.18 Prob > chi2 = 0.000
Difference (null H = exogenous): chi2(1) = 33.01 Prob > chi2 = 0.000
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