I'm doing my masters dissertation and I need to use GMM. So any help would be greatly appreciated! I used this code to do a twostep system GMM regression. However the variable EPUA is missing from the regression results. Any idea as to why it is not reported in the regression results?
Code:
xtabond2 ROA l.ROA CAR GDP INF EPUA CD NIM NII log_size y*, gmm(l.ROA CAR, collapse) ///
> iv(GDP EPUA CD NII NIM log_size y*, equation(level)) ///
> twostep robust small
Result:
Dynamic panel-data estimation, two-step system GMM
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Group variable: Bankid Number of obs = 240
Time variable : Year Number of groups = 30
Number of instruments = 29 Obs per group: min = 8
F(13, 29) = 75.41 avg = 8.00
Prob > F = 0.000 max = 8
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| Corrected
ROA | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
ROA |
L1. | .3854601 .124757 3.09 0.004 .1303034 .6406168
|
CAR | .1199078 .0874612 1.37 0.181 -.0589705 .298786
GDP | .0158384 .0266463 0.59 0.557 -.0386595 .0703363
CD | -.0077469 .0096876 -0.80 0.430 -.0275603 .0120665
NIM | .517398 .1863238 2.78 0.010 .136323 .8984731
NII | -.120203 .2280859 -0.53 0.602 -.586691 .346285
log_size | .0895814 .0584982 1.53 0.137 -.0300608 .2092236
yr2 | .2715365 .1442631 1.88 0.070 -.0235145 .5665876
yr4 | .080147 .2339625 0.34 0.734 -.3983599 .558654
yr5 | -.3087375 .1554316 -1.99 0.057 -.6266308 .0091558
yr6 | -.3764509 .2177563 -1.73 0.094 -.8218125 .0689107
yr7 | -.3467422 .2744191 -1.26 0.216 -.9079922 .2145079
yr9 | -.2506425 .4130149 -0.61 0.549 -1.095353 .5940677
_cons | -4.706079 2.067006 -2.28 0.030 -8.93358 -.4785776
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Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/8).(L.ROA CAR) collapsed
Instruments for levels equation
Standard
GDP CD NII EPUA NIM log_size yr1 yr2 yr3 yr4 yr5 yr6 yr7 yr8 yr9
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(L.ROA CAR) collapsed
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Arellano-Bond test for AR(1) in first differences: z = -2.70 Pr > z = 0.007
Arellano-Bond test for AR(2) in first differences: z = -0.20 Pr > z = 0.838
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Sargan test of overid. restrictions: chi2(15) = 9.82 Prob > chi2 = 0.831
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(15) = 17.74 Prob > chi2 = 0.277
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(13) = 8.87 Prob > chi2 = 0.783
Difference (null H = exogenous): chi2(2) = 8.87 Prob > chi2 = 0.012
iv(GDP CD NII EPUA NIM log_size yr1 yr2 yr3 yr4 yr5 yr6 yr7 yr8 yr9, eq(level))
Hansen test excluding group: chi2(3) = 1.52 Prob > chi2 = 0.678
Difference (null H = exogenous): chi2(12) = 16.22 Prob > chi2 = 0.181
