Dynamic panel-data estimation, two-step system GMM

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Group variable: province_dum                    Number of obs      =       360

Time variable : year                            Number of groups   =        30

Number of instruments = 21                      Obs per group: min =        12

Wald chi2(4)  =    211.24                                      avg =     12.00

Prob > chi2   =     0.000                                      max =        12

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             |              Corrected

         sr3 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]

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         sr3 |

         L1. |   .8958904   .0688136    13.02   0.000     .7610182    1.030763

             |

        odr1 |  -.1813659   .1941935    -0.93   0.350    -.5619782    .1992465

        ogr3 |  -.0686968   .0430506    -1.60   0.111    -.1530744    .0156808

         rur |  -.3194402   .0738577    -4.33   0.000    -.4641986   -.1746818

       _cons |   7.318813   2.126689     3.44   0.001      3.15058    11.48705

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Instruments for first differences equation

  GMM-type (missing=0, separate instruments for each period unless collapsed)

    L2.L.sr3

Instruments for levels equation

  Standard

    _cons

  GMM-type (missing=0, separate instruments for each period unless collapsed)

    DL.L.sr3

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Arellano-Bond test for AR(1) in first differences: z =  -4.28  Pr > z =  0.000

Arellano-Bond test for AR(2) in first differences: z =  -0.87  Pr > z =  0.384

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Sargan test of overid. restrictions: chi2(16)   = 158.74  Prob > chi2 =  0.000

  (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(16)   =  27.76  Prob > chi2 =  0.034

  (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

  GMM instruments for levels

    Hansen test excluding group:     chi2(6)    =  24.81  Prob > chi2 =  0.000

    Difference (null H = exogenous): chi2(10)   =   2.95  Prob > chi2 =  0.983