** High Priority **
Hallo,
I have performed the xtabond procedure in stata.10 and I have obtained the following results.
xtabond ros q_immmat leverage vafat offat innset add coslva d1998 d2003, inst(north_we n
> orth_ea centre) lags(1) endog(inn) vce(robust) artests(2)
Arellano-Bond dynamic panel-data estimation Number of obs = 15546
Group variable: codice_i Number of groups = 2591
Time variable: time
Obs per group: min = 6
avg = 6
max = 6
Number of instruments = 44 Wald chi2(11) = 2917.92
Prob > chi2 = 0.0000
One-step results
------------------------------------------------------------------------------
| Robust
ros | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ros |
L1. | .3233811 .0198598 16.28 0.000 .2844566 .3623056
inn | .2425445 .1280361 1.89 0.058 -.0084016 .4934906
q_immmat | .0023804 .0013162 1.81 0.071 -.0001994 .0049602
leverage | .0000875 .0001947 0.45 0.653 -.000294 .000469
vafat | .6048328 .0210364 28.75 0.000 .5636022 .6460633
offat | -.6008628 .0672536 -8.93 0.000 -.7326773 -.4690482
innset | .0411136 .0078649 5.23 0.000 .0256986 .0565286
add | -.0017756 .0007399 -2.40 0.016 -.0032257 -.0003254
coslva | -.7031861 .3948626 -1.78 0.075 -1.477103 .0707304
d1998 | .6747555 .0723119 9.33 0.000 .5330267 .8164843
d2003 | -1.008683 .0886336 -11.38 0.000 -1.182402 -.8349642
_cons | -12.10147 .8268329 -14.64 0.000 -13.72203 -10.4809
------------------------------------------------------------------------------
Instruments for differenced equation
GMM-type: L(2/.).ros L(2/.).inn
Standard: D.q_immmat D.leverage D.vafat D.offat D.innset D.add D.coslva D.d1998
D.d2003 north_we north_ea centre
Instruments for level equation
Standard: _cons
.. estat sargan
Sargan test of overidentifying restrictions
H0: overidentifying restrictions are valid
chi2(32) = 109.316
Prob > chi2 = 0.0000
. estat abond
Arellano-Bond test for zero autocorrelation in first-differenced errors
+-----------------------+
|Order | z Prob > z|
|------+----------------|
| 1 |-16.228 0.0000 |
| 2 |-.66241 0.5077 |
+-----------------------+
H0: no autocorrelation -
Should I conclude that the Sargan test clearly does not reject the hypothesis that the sets of additional instruments used in the GMM specification are invalid?
Is there someone who could help me in the correct interpretation and,if my interpretation is correct, in finding a better specification of the model?
thank you
Eleonora Bartoloni
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