Hi everybody,
My data sample includes 500 observations for 100 companies from 2011 to 2016. I use the command xtabond2 as "xtabond2 EP l2.EP FP BS BI BM GD FPBS FPBI FPBM FPGD FS FL i.Year, gmm(l2.EP ) iv( FP BS BI BM GD FPBS FPBI FPBM FPGD FS FL i.Year) nodiffsargan twostep robust orthogonal small", and the results were:
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Arellano-Bond test for AR(1) in first differences: z = -2.05 Pr > z = 0.040
Arellano-Bond test for AR(2) in first differences: z = . Pr > z = .
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Sargan test of overid. restrictions: chi2(1) = 9.03 Prob > chi2 = 0.003
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(1) = 8.89 Prob > chi2 = 0.003
(Robust, but weakened by many instruments.)
Could you please explain for me that my model is accepted or not and why?
Many thanks,
Hanh Nguyen