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st: SYS GMM with xtabond2 [company profitability]


From   Florian Schwab <florian@le-schwab.ch>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: SYS GMM with xtabond2 [company profitability]
Date   Thu, 20 Feb 2014 00:30:06 +0100

Hello

for a panel of energy companies, I would like to estimate a function
explaining the profitability (y) dependent on

- the lagged dependent variable y(i, t-1)
- a vector X(x1(i,t-1), ..., x10(i,t-1)) of company characteristics
(first lag), all of which are used as instruments
- a vector Z(z1, ..., z4) of strictly exogenous industry variables
such as market concentration, gdp etc.

my corresponding Stata command is

xtabond2 y L.y x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 z1 z2 z3 z4, gmm(y x1 x2
x3 x4 x5 x6 x7 x8 x9 x10, lags(1 1) collapse) iv (z1 z2 z3 z4) twostep
robust

However, I don't get a significant effect of L.y which all comparable
studies find and is fairly unlikely if I look at the curves for y...

Is there something wrong with the specification?

Thanks in advance.
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