Hi,

In the following system GMM model based on a panel dataset of 1696 firms across 16 years, I am interested in calculating the ultimate coefficient for lagged cash holdings (CashHoldings1) and promoter.ownership (WPromoterS).

Code:
xtdpdgmm CashHoldings1 L.CashHoldings1 Size1 Leverage1 WPromoterS c.WPromoterS#c.L.CashHoldings1, gmmiv(L.CashHoldings1, lag(1 4) model(fodev)) gmmiv(Leverage1 c.WPromoterS#c.L.CashHoldings1, lag(1 7) collapse model(fodev)) iv(Size1 WPromoterS, model(level)) teffects twostep vce(cluster CompanyID) nofootnote
Below is the output of this model.

Code:
Generalized method of moments estimation

Fitting full model:
Step 1         f(b) =  .00033582
Step 2         f(b) =  .06917731

Group variable: CompanyID                    Number of obs         =     21705
Time variable: Year                          Number of groups      =      1676

Moment conditions:     linear =      77      Obs per group:    min =         1
                    nonlinear =       0                        avg =  12.95048
                        total =      77                        max =        15

                                   (Std. Err. adjusted for 1,676 clusters in CompanyID)
---------------------------------------------------------------------------------------
                      |              WC-Robust
        CashHoldings1 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------------+----------------------------------------------------------------
        CashHoldings1 |
                  L1. |    .970056   .2444395     3.97   0.000     .4909633    1.449149
                      |
                Size1 |   -.000663   .0003608    -1.84   0.066    -.0013701    .0000442
            Leverage1 |   -.029561   .0094004    -3.14   0.002    -.0479854   -.0111365
   WPromoterSharesin1 |   .0359299   .0162391     2.21   0.027     .0041019     .067758
                      |
 c.WPromoterSharesin1#|
     cL.CashHoldings1 |  -.9789452   .4334874    -2.26   0.024    -1.828565   -.1293254
                      |
Below are my questions.

1. I am aware that calculation of coefficient of promoter ownership can be calculated for a certain level of lagged cash holdings (say, 0.04) in this way: .0359299 -.9789452*(0.04) = -0.003227908. However, I would like to know a convenient and short way of calculating the t-statistic for this calculated coefficient (specially considering that this is a system GMM regression on an unbalanced panel dataset).
2. Following general practice, I plug in the mean value of lagged cash holdings (i.e. 0.04) in the above calculation. I would like to know if there is another standard practice regarding this. Is there any other alternative than the mean value?

Thanks!