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st: xtabond2: Sargan test

From   sevcan yesiltas <[email protected]>
To   [email protected]
Subject   st: xtabond2: Sargan test
Date   Mon, 18 Aug 2008 22:44:50 +0300 (EEST)

Dear All,
Sorry for mistyoing, there should be L.y in gmm option as expected.
Best regards

Dear All,

 Using DPD, I am trying to  estimate the following equation of the general
form ,

yit=a(y)it-1+b(x)it-1+(n)i+(d)t+(v)it  i=1,2,....,N &  t=1,2,...,T

I have two samples, first one is an unbalanced panel that consists of
nearly 30.000 observations ( every firm has observations for at least 3
consecutive years); the second one is a balanced panel that consists of
approximately 600 firms having information for the whole period. My
analysis stands for 1994-2006 period.
In stata 9, via  commands recently updated by David Roodman, I use the
following command;
xi:xtabond2 y L.y L.x i.year,gmm(L.x,eq(diff)) iv(i.year,eq(level)) small
robust two ( since my regressors are endogeneous and correlated with
firm-specific effects) I run may commands in order to find valid
instruments.( using only second lags, using older lags, collapsing all
instruments). But none of my estimation results (for both samples) have a
p-value grater than 0.1 for
sargan and hansen test, indeed p values are always 0.000. In short, I am
not able to get the wanted p values.
Is it because of maybe persistent data I am working with, or
multicollinearity between the regressors?
If so, anyone knows a panel unit root test works with unbalanced data in
stata?(levinlin, ipshin,madfuller, all work with balanced panel)
if anyone helps, I strongly appreciate it!
Best regards


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