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st: sargan test for dynamic panel data


From   "Eleonora Bartoloni06" <Eleonora.Bartoloni06@phd.wbs.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: sargan test for dynamic panel data
Date   Tue, 18 Nov 2008 10:27:58 +0000

** High Priority **

Hallo,

I have performed the xtabond procedure in stata.10 and I have obtained the following results.

xtabond ros q_immmat leverage  vafat offat  innset add  coslva d1998 d2003, inst(north_we n
> orth_ea centre) lags(1)   endog(inn) vce(robust) artests(2)

Arellano-Bond dynamic panel-data estimation  Number of obs         =     15546
Group variable: codice_i                     Number of groups      =      2591
Time variable: time
                                             Obs per group:    min =         6
                                                               avg =         6
                                                               max =         6

Number of instruments =     44               Wald chi2(11)         =   2917.92
                                             Prob > chi2           =    0.0000
One-step results
------------------------------------------------------------------------------
             |               Robust
         ros |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         ros |
         L1. |   .3233811   .0198598    16.28   0.000     .2844566    .3623056
         inn |   .2425445   .1280361     1.89   0.058    -.0084016    .4934906
    q_immmat |   .0023804   .0013162     1.81   0.071    -.0001994    .0049602
    leverage |   .0000875   .0001947     0.45   0.653     -.000294     .000469
       vafat |   .6048328   .0210364    28.75   0.000     .5636022    .6460633
       offat |  -.6008628   .0672536    -8.93   0.000    -.7326773   -.4690482
      innset |   .0411136   .0078649     5.23   0.000     .0256986    .0565286
         add |  -.0017756   .0007399    -2.40   0.016    -.0032257   -.0003254
      coslva |  -.7031861   .3948626    -1.78   0.075    -1.477103    .0707304
       d1998 |   .6747555   .0723119     9.33   0.000     .5330267    .8164843
       d2003 |  -1.008683   .0886336   -11.38   0.000    -1.182402   -.8349642
       _cons |  -12.10147   .8268329   -14.64   0.000    -13.72203    -10.4809
------------------------------------------------------------------------------
Instruments for differenced equation
        GMM-type: L(2/.).ros L(2/.).inn
        Standard: D.q_immmat D.leverage D.vafat D.offat D.innset D.add D.coslva D.d1998
                  D.d2003 north_we north_ea centre
Instruments for level equation
        Standard: _cons

.. estat sargan
Sargan test of overidentifying restrictions
        H0: overidentifying restrictions are valid

        chi2(32)     =   109.316
        Prob > chi2  =    0.0000

. estat abond

Arellano-Bond test for zero autocorrelation in first-differenced errors
  +-----------------------+
  |Order |  z     Prob > z|
  |------+----------------|
  |   1  |-16.228  0.0000 |
  |   2  |-.66241  0.5077 |
  +-----------------------+
   H0: no autocorrelation -



Should I conclude that the Sargan test clearly does not reject the hypothesis that the sets of additional instruments used in the GMM specification are invalid?
Is there someone who could help me in the correct interpretation and,if my interpretation is correct, in finding a better specification of the model?
thank you
Eleonora Bartoloni


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