You lose one more period because of the lagged dependent variable. Your first period in the estimation sample is the second period in your data set.
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xtabond2 ltfp L.ltfp L2.ltfp routsales rndva yr2-yr10, iv(yr2-yr10, eq(level)) gmm(routsales rndva, lag(2 3)) gmm(ltfp, lag(2 3)) twostep r obust artests(3)
. xtabond2 y L.y x1 x2 x3 x4 year3-year20, gmm(y, lag(2 3) collapse) iv(x1 x2 > x3, eq(level)) iv(x4 year3-year20, eq(level)) robust twostep Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: i Number of obs = 1102 Time variable : year Number of groups = 58 Number of instruments = 26 Obs per group: min = 19 Wald chi2(23) = 399.43 avg = 19.00 Prob > chi2 = 0.000 max = 19 ------------------------------------------------------------------------------ | Corrected y | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .327704 .0541904 6.05 0.000 .2214928 .4339153 | x1 | -.003743 .0027996 -1.34 0.181 -.0092301 .001744 x2 | .0068359 .0190328 0.36 0.719 -.0304677 .0441395 x3 | -.3073064 .068547 -4.48 0.000 -.441656 -.1729568 x4 | -.2079799 .1522344 -1.37 0.172 -.5063538 .0903941 year3 | .063862 .0639817 1.00 0.318 -.0615397 .1892638 year4 | .0546963 .0515861 1.06 0.289 -.0464106 .1558031 year5 | .0420467 .0435978 0.96 0.335 -.0434035 .1274968 year6 | .0619219 .0580356 1.07 0.286 -.0518258 .1756696 year7 | .056716 .0536444 1.06 0.290 -.0484252 .1618572 year8 | .1005629 .0544172 1.85 0.065 -.0060928 .2072187 year9 | -.0018599 .0577488 -0.03 0.974 -.1150453 .1113256 year10 | -.0385923 .0574199 -0.67 0.502 -.1511333 .0739486 year11 | .0336183 .0536857 0.63 0.531 -.0716036 .1388403 year12 | .0320164 .0530338 0.60 0.546 -.0719279 .1359607 year13 | .0593187 .0531552 1.12 0.264 -.0448636 .1635011 year14 | .0551061 .0529566 1.04 0.298 -.0486869 .1588992 year15 | .0790878 .0499249 1.58 0.113 -.0187632 .1769388 year16 | .0573177 .0547685 1.05 0.295 -.0500266 .164662 year17 | -.0037387 .0531859 -0.07 0.944 -.1079811 .1005036 year18 | .0469988 .0537304 0.87 0.382 -.0583109 .1523085 year19 | .0789955 .0551545 1.43 0.152 -.0291052 .1870963 year20 | .0067543 .052748 0.13 0.898 -.0966298 .1101385 _cons | 4.600625 1.428604 3.22 0.001 1.800613 7.400637 ------------------------------------------------------------------------------ Instruments for first differences equation GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/3).y collapsed Instruments for levels equation Standard x4 year3 year4 year5 year6 year7 year8 year9 year10 year11 year12 year13 year14 year15 year16 year17 year18 year19 year20 x1 x2 x3 _cons GMM-type (missing=0, separate instruments for each period unless collapsed) DL.y collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -3.04 Pr > z = 0.002 Arellano-Bond test for AR(2) in first differences: z = 1.16 Pr > z = 0.246 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(2) = 3.44 Prob > chi2 = 0.179 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(2) = 1.47 Prob > chi2 = 0.481 (Robust, but weakened by many instruments.) Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(1) = 1.14 Prob > chi2 = 0.286 Difference (null H = exogenous): chi2(1) = 0.33 Prob > chi2 = 0.567 . end of do-file
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