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xtabond2 y L.y w1 w2 w3 w4 x , gmm(L.y , lag(2 2)) robust twostep
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Number of instruments may be large relative to number of observations.
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: ind Number of obs = 25
Time variable : ye Number of groups = 5
Number of instruments = 8 Obs per group: min = 5
Wald chi2(6) = 34875.94 avg = 5.00
Prob > chi2 = 0.000 max = 5
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| Corrected
y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y |
L1. | 1.263574 .2739936 4.61 0.000 .7265561 1.800591
|
w1 | .0273071 .0882445 0.31 0.757 -.1456488 .2002631
w2 | -.2577186 .2987039 -0.86 0.388 -.8431674 .3277303
w3 | -.3964281 .6680444 -0.59 0.553 -1.705771 .912915
w4 | .3347015 .5379795 0.62 0.534 -.7197189 1.389122
x | 0 (omitted)
_cons | 0 (omitted)
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Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L2.L.y
Instruments for levels equation
Standard
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.L.y
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Arellano-Bond test for AR(1) in first differences: z = 0.06 Pr > z = 0.951
Arellano-Bond test for AR(2) in first differences: z = 1.09 Pr > z = 0.276
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Sargan test of overid. restrictions: chi2(1) = 0.56 Prob > chi2 = 0.454
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(1) = 0.00 Prob > chi2 = 1.000
(Robust, but weakened by many instruments.)