Dear all,
I am running some dynamic panel data with xtabond2, and often the coefficients of the lagged dependent variable (yt-1 and yt-2) add (almost) to 1. What does this mean? Is there a problem in my data? My understanding is that with GMM estimators one does not need to worry about non-stationarity. Below you find some results of a number of models that have been estimated via system GMM. Similar results are obtained with difference GMM. Thanks for your help.
Graziano

(1) (2) (3) (4) (5) (6)
VARIABLES model 21 model 22 model 23 model 24 model 25 model 26
L.lal 1.710*** 1.596*** 1.810*** 1.798*** 1.586*** 1.660***
(0.0369) (0.0541) (0.0384) (0.0268) (0.0349) (0.0394)
L2.lal -0.720*** -0.601*** -0.795*** -0.788*** -0.593*** -0.642***
(0.0363) (0.0591) (0.0406) (0.0292) (0.0368) (0.0404)
lrpopd -0.996*** -1.005*** -0.985*** -0.990*** -0.995*** -0.976***
(0.00552) (0.0116) (0.0180) (0.00748) (0.00539) (0.0191)
L.lrpopd 1.708*** 1.598*** 1.789*** 1.779*** 1.585*** 1.628***
(0.0378) (0.0540) (0.0591) (0.0281) (0.0355) (0.0548)
L2.lrpopd -0.721*** -0.601*** -0.809*** -0.793*** -0.595*** -0.660***
(0.0366) (0.0606) (0.0419) (0.0291) (0.0377) (0.0415)
lpacr -0.000322 0.000737
(0.000519) (0.000758)
L.lpacr -0.000803 -0.00110
(0.000733) (0.000924)
L2.lpacr 0.000909 0.000299
(0.000720) (0.00102)
lfdi -5.30e-07 0.000100 0.000339*** 0.000370* -7.92e-06 -0.000173
(9.22e-05) (0.000118) (6.83e-05) (0.000193) (0.000135) (0.000113)
L.lfdi 0.000403*** 0.000616*** 0.000671*** 0.000786*** 0.000539*** 0.000546*
(0.000134) (0.000197) (0.000103) (0.000120) (0.000199) (0.000311)
L2.lfdi -0.000114 6.76e-05 3.29e-06 -0.000182 8.55e-06 -0.000445**
(0.000132) (0.000110) (0.000186) (0.000274) (9.93e-05) (0.000220)
lvaha -0.00294* 0.000388 -0.000666 -0.00348 -0.00635
(0.00167) (0.00132) (0.00120) (0.00217) (0.00393)
L.lvaha -0.00152 -0.00253 0.00288 -0.000301 0.00787
(0.00145) (0.00178) (0.00255) (0.000983) (0.00850)
L2.lvaha -0.00313 -0.000878 -0.00684** -0.00149 -0.00430
(0.00194) (0.00154) (0.00329) (0.00190) (0.00768)
lppae 0.00118** 0.00137
(0.000578) (0.00130)
L.lppae -0.00119 -0.00198*
(0.000989) (0.00111)
L2.lppae 1.86e-06 -0.000820
(0.000246) (0.000637)
lpdfa -0.000269 -0.000551
(0.000203) (0.000345)
L.lpdfa -3.23e-06 0.000262
(0.000101) (0.000185)
L2.lpdfa 2.64e-05 -2.07e-05
(5.84e-05) (0.000198)
Observations 206 206 78 102 187 41
Number of id 20 20 13 14 20 8
ar1 -1.023 -1.002 -1.028 -0.960 -1.022 -1.170
ar1p 0.306 0.317 0.304 0.337 0.307 0.242
ar2 0.506 0.402 -1.548 0.395 0.432 0.768
ar2p 0.613 0.688 0.122 0.693 0.666 0.442
hansen 14.94 7.733 0 0 7.636 0
hansenp 1.000 1 1 1 1 1