Hi everybody,
My data sample includes 500 observations for 100 companies from 2011 to 2016. I use the command xtabond2 as "xtabond2 EP l2.EP FP BS BI BM GD FPBS FPBI FPBM FPGD FS FL i.Year, gmm(l2.EP ) iv( FP BS BI BM GD FPBS FPBI FPBM FPGD FS FL i.Year) nodiffsargan twostep robust orthogonal small", and the results were:
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Arellano-Bond test for AR(1) in first differences: z = -2.05 Pr > z = 0.040
Arellano-Bond test for AR(2) in first differences: z = . Pr > z = .
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Sargan test of overid. restrictions: chi2(1) = 9.03 Prob > chi2 = 0.003
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(1) = 8.89 Prob > chi2 = 0.003
(Robust, but weakened by many instruments.)
Could you please explain for me that my model is accepted or not and why?
Many thanks,
Hanh Nguyen
My data sample includes 500 observations for 100 companies from 2011 to 2016. I use the command xtabond2 as "xtabond2 EP l2.EP FP BS BI BM GD FPBS FPBI FPBM FPGD FS FL i.Year, gmm(l2.EP ) iv( FP BS BI BM GD FPBS FPBI FPBM FPGD FS FL i.Year) nodiffsargan twostep robust orthogonal small", and the results were:
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -2.05 Pr > z = 0.040
Arellano-Bond test for AR(2) in first differences: z = . Pr > z = .
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(1) = 9.03 Prob > chi2 = 0.003
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(1) = 8.89 Prob > chi2 = 0.003
(Robust, but weakened by many instruments.)
Could you please explain for me that my model is accepted or not and why?
Many thanks,
Hanh Nguyen
