Dear Statalist members,

I have been trying to implement xtdpdsys in my paper. However, based on my data set the Sargan test is always zero, where as the Arellano-Bond test is showing second autocorrelation. When I use three lags on the dependent variable I have only first autocorrelation. Having said that, could you please let me know whether is correct to use more lags in order to get the right result or it is wrong because my model is overloaded with instruments.I am adding L(3/3) to the dependent variable. Although I tried to read what is the purpose of the latter, I still cannot understand how to interpret it? In addition, can you please help me and explain how can I use Hansen test with my data set?

The first table is showing the results based on the real model (i.e. only one lag on the dependent variable and on the explanatory variable).

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Below you can see the results from the table with lags:

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I would really appreciate your help if you have any recommendations or comments.

Apologies in advance if the format is not correct (will fix it immediately).