. xtabond2 var6 l.var6 l(0/1).(var2 var4) , gmm(l. var6 var2 var4)robust
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen test.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
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Group variable: c Number of obs = 94
Time variable : year Number of groups = 65
Number of instruments = 13 Obs per group: min = 1
Wald chi2(5) = 43.28 avg = 1.45
Prob > chi2 = 0.000 max = 2
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| Robust
var6 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
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var6 |
L1. | -.3697021 .1800961 -2.05 0.040 -.7226839 -.0167202
var2 |
--. | -.0476367 .0269067 -1.77 0.077 -.1003729 .0050995
L1. | .0089197 .0060861 1.47 0.143 -.0030088 .0208482
var4 |
--. | .0094931 .0204176 0.46 0.642 -.0305247 .049511
L1. | -.0462709 .0146179 -3.17 0.002 -.0749214 -.0176204
_cons | 1.040288 .1377014 7.55 0.000 .770398 1.310177
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Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/.).(var6 var2 var4)
Instruments for levels equation
Standard
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(var6 var2 var4)
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Arellano-Bond test for AR(1) in first differences: z = . Pr > z = .
Arellano-Bond test for AR(2) in first differences: z = . Pr > z = .
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Sargan test of overid. restrictions: chi2(7) = 72.56 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(7) = 6.91 Prob > chi2 = 0.438
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(1) = 0.53 Prob > chi2 = 0.468
Difference (null H = exogenous): chi2(6) = 6.38 Prob > chi2 = 0.382