I'm new to GMM and I have a question that I couldn't resolve using other questions. When using xtabond2, I cannot identify second-order correlation in my model. However, it does not return values for AR(2). How should I interpret this? This is my command and my output.
xtabond2 txrisc L.txrisc etr lna roa intang int_cap int_est alav, gmm (txrisc etr,eq(both)lag(1 1))iv( lna roa intang int_cap int_est alav) twostep robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
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Group variable: emp Number of obs = 506
Time variable : ano Number of groups = 216
Number of instruments = 17 Obs per group: min = 1
Wald chi2(8) = 216.52 avg = 2.34
Prob > chi2 = 0.000 max = 3
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| Corrected
txrisc | Coefficient std. err. z P>|z| [95% conf. interval]
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txrisc |
L1. | .3222384 .0379446 8.49 0.000 .2478685 .3966084
|
etr | .5702043 .1620144 3.52 0.000 .2526619 .8877466
lna | -.0136983 .0119556 -1.15 0.252 -.0371309 .0097343
roa | -.127692 .1749326 -0.73 0.465 -.4705536 .2151695
intang | .1494417 .1244321 1.20 0.230 -.0944408 .3933241
int_cap | .1176657 .092901 1.27 0.205 -.0644171 .2997484
int_est | .1796872 .1798873 1.00 0.318 -.1728854 .5322598
alav | -.0161519 .0471825 -0.34 0.732 -.1086279 .0763241
_cons | .2697351 .2669981 1.01 0.312 -.2535715 .7930418
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Instruments for first differences equation
Standard
D.(lna roa intang int_cap int_est alav)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L.(txrisc etr)
Instruments for levels equation
Standard
lna roa intang int_cap int_est alav
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(txrisc etr)
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Arellano-Bond test for AR(1) in first differences: z = -1.67 Pr > z = 0.095
Arellano-Bond test for AR(2) in first differences: z = . Pr > z = .
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Sargan test of overid. restrictions: chi2(8) = 174.50 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(8) = 12.68 Prob > chi2 = 0.123
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(2) = 5.19 Prob > chi2 = 0.075
Difference (null H = exogenous): chi2(6) = 7.49 Prob > chi2 = 0.278
iv(lna roa intang int_cap int_est alav)
Hansen test excluding group: chi2(2) = 5.37 Prob > chi2 = 0.068
Difference (null H = exogenous): chi2(6) = 7.31 Prob > chi2 = 0.293
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