Dear all,

I have the results from xtabond2 as follows:
My interest coefficient is AfterFD. And it is significant at 10%. Also, the AR(2) is not significant and Hansen test of overid restrictions is not significant. it means my regression work through, isn't it?

In addition, could you please give me interpretation of Difference-in-Hansen test of exogeneity? As far as I understand, it should be insignificant. However, from the table, GMM instruments for levels - Hansen text excluding group: chi2(1) =3.88 Pro>chi2=0.049. Does it matter?

Thank you very much in advance.

I have the results from xtabond2 as follows:

Code:

Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: firmid Number of obs = 370 Time variable : year Number of groups = 56 Number of instruments = 40 Obs per group: min = 2 F(28, 55) = 17.64 avg = 6.61 Prob > F = 0.000 max = 9 ------------------------------------------------------------------------------ | Corrected lnTobin | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnTobin | L1. | .3589312 .1495623 2.40 0.020 .0592016 .6586608 | PerFD | -1.529385 .9790586 -1.56 0.124 -3.491462 .4326921 After | -.2640213 .1342461 -1.97 0.054 -.5330566 .005014 AfterFD | 2.464606 1.261673 1.95 0.056 -.0638425 4.993055 PerInD | .4815669 .6739103 0.71 0.478 -.8689795 1.832113 Dual | -.0423404 .2274878 -0.19 0.853 -.4982362 .4135553 lnCEOtenure | .019317 .0855446 0.23 0.822 -.1521183 .1907522 FCEO | .0934513 .3517923 0.27 0.792 -.6115562 .7984589 bsize | 1.34156 .6865983 1.95 0.056 -.0344134 2.717534 lnage | -.0837236 .0475913 -1.76 0.084 -.1790987 .0116515 Firmsize | -.0796772 .0762127 -1.05 0.300 -.2324109 .0730566 blev | .0898659 .3326785 0.27 0.788 -.5768368 .7565685 y2001 | .0924929 .5832582 0.16 0.875 -1.076383 1.261369 y2002 | -.0795403 .3058306 -0.26 0.796 -.6924385 .533358 y2003 | .2306446 .1815684 1.27 0.209 -.1332266 .5945159 y2004 | .232103 .1600517 1.45 0.153 -.0886478 .5528537 y2005 | .1602183 .0964058 1.66 0.102 -.0329833 .3534199 y2006 | .2876385 .0717168 4.01 0.000 .1439149 .4313621 y2007 | .2983802 .0771674 3.87 0.000 .1437333 .4530272 y2009 | .2357406 .0857651 2.75 0.008 .0638634 .4076177 y2010 | .2821254 .0938799 3.01 0.004 .0939859 .470265 y2011 | .2311672 .0806831 2.87 0.006 .0694747 .3928597 y2012 | .326781 .086148 3.79 0.000 .1541365 .4994255 y2013 | .2673544 .0890159 3.00 0.004 .0889627 .4457462 y2014 | .2717915 .1009934 2.69 0.009 .0693961 .4741868 y2015 | .174857 .1158495 1.51 0.137 -.0573106 .4070246 y2016 | .1760335 .1125244 1.56 0.123 -.0494705 .4015376 y2017 | .4763668 .1463013 3.26 0.002 .1831725 .7695611 _cons | -1.195517 1.267733 -0.94 0.350 -3.736111 1.345076 ------------------------------------------------------------------------------ Instruments for first differences equation Standard D.(After lnage 2000b.year 2001.year 2002.year 2003.year 2004.year 2005.year 2006.year 2007.year 2008.year 2009.year 2010.year 2011.year 2012.year 2013.year 2014.year 2015.year 2016.year 2017.year) GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(AfterFD PerFD PerInD Dual lnCEOtenure FemaleCEO bsize Firmsize blev) collapsed L(2/3).lnTobin collapsed Instruments for levels equation Standard After lnage 2000b.year 2001.year 2002.year 2003.year 2004.year 2005.year 2006.year 2007.year 2008.year 2009.year 2010.year 2011.year 2012.year 2013.year 2014.year 2015.year 2016.year 2017.year _cons GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(AfterFD PerFD PerInD Dual lnCEOtenure FemaleCEO bsize Firmsize blev) collapsed DL.lnTobin collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -3.06 Pr > z = 0.002 Arellano-Bond test for AR(2) in first differences: z = -0.60 Pr > z = 0.547 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(11) = 12.16 Prob > chi2 = 0.352 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(11) = 7.04 Prob > chi2 = 0.796 (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) = 3.88 Prob > chi2 = 0.049 Difference (null H = exogenous): chi2(10) = 3.16 Prob > chi2 = 0.977 gmm(lnTobin, collapse eq(diff) lag(2 3)) Hansen test excluding group: chi2(9) = 6.33 Prob > chi2 = 0.707 Difference (null H = exogenous): chi2(2) = 0.71 Prob > chi2 = 0.700 gmm(lnTobin, collapse eq(diff) lag(2 3)) eq(level) lag(1 1)) Hansen test excluding group: chi2(10) = 6.93 Prob > chi2 = 0.732 Difference (null H = exogenous): chi2(1) = 0.11 Prob > chi2 = 0.743

In addition, could you please give me interpretation of Difference-in-Hansen test of exogeneity? As far as I understand, it should be insignificant. However, from the table, GMM instruments for levels - Hansen text excluding group: chi2(1) =3.88 Pro>chi2=0.049. Does it matter?

Thank you very much in advance.

## Comment