Greetings Statalist members,
I need your help to make sure that i did input the interaction term into xtabond2 properly using (##) or i should generate a variable that equals to (OBSR*EA) and include it separately. Also do i have to include the interaction term in the gmmstyle equation?

Code:
 xtabond2 L(0/1).zs310  c.OBSR##c.EA_w Size AssetG RegP LLPAR NIasset LoanAsset LiqR DepFL  GDPG T10Y3M y* if typeD1==1 , gmm(L.zs310  OBSR  LiqR ,laglimits(1 2)) iv(GDPG RegP  LoanAsset T10Y3M y*, eq(leve
> l)) iv(GDPG T10Y3M y*, eq(diff)) twostep robust nodiffsargan
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
  Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.

Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: id                              Number of obs      =      2760
Time variable : year                            Number of groups   =       333
Number of instruments = 82                      Obs per group: min =         4
Wald chi2(15) =   1704.86                                      avg =      8.29
Prob > chi2   =     0.000                                      max =         9
-------------------------------------------------------------------------------
              |              Corrected
        zs310 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
--------------+----------------------------------------------------------------
        zs310 |
          L1. |   .9425492   .0348098    27.08   0.000     .8743231    1.010775
              |
         OBSR |   .5598905   .2541442     2.20   0.028     .0617769    1.058004
         EA_w |   1.330796    .579164     2.30   0.022     .1956559    2.465937
              |
c.OBSR#c.EA_w |  -.0516348   .0261288    -1.98   0.048    -.1028463   -.0004233
              |
         Size |   2.584476   1.024467     2.52   0.012     .5765586    4.592394
       AssetG |  -.1463115   .0429861    -3.40   0.001    -.2305627   -.0620603
         RegP |  -3.669736   3.700686    -0.99   0.321    -10.92295    3.583475
        LLPAR |   5.596102   1.731068     3.23   0.001     2.203271    8.988932
      NIasset |   2.239878    1.09118     2.05   0.040     .1012038    4.378552
    LoanAsset |   .0003182   .1030633     0.00   0.998    -.2016821    .2023185
         LiqR |   -.029229   .1119035    -0.26   0.794    -.2485558    .1900978
        DepFL |   .4377712   .1632081     2.68   0.007     .1178892    .7576531
         GDPG |   .3116449   .2350726     1.33   0.185    -.1490888    .7723787
       T10Y3M |    .601936   .3151627     1.91   0.056    -.0157716    1.219644
         year |   .0498398   .1343316     0.37   0.711    -.2134453    .3131248
        _cons |  -177.7768   269.1938    -0.66   0.509     -705.387    349.8333
-------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
    D.(GDPG T10Y3M year)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/2).(L.zs310 OBSR LiqR)
Instruments for levels equation
  Standard
    GDPG RegP LoanAsset T10Y3M year
    _cons
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    D.(L.zs310 OBSR LiqR)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -4.21  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =  -1.32  Pr > z =  0.188
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(66)   = 181.73  Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(66)   =  72.56  Prob > chi2 =  0.271
  (Robust, but weakened by many instruments.)
further i do obtain slightly different results using ivstyle(exogenous vars, eq(level)) without including my exogenous vars in the ivstyle difference equation? i am wondering what might be the reason for that?

Code:
  xtabond2 L(0/1).zs310  c.OBSR##c.EA_w Size AssetG RegP LLPAR NIasset LoanAsset LiqR DepFL  GDPG T10Y3M y* if typeD1==1 , gmm(L.zs310  OBSR  LiqR ,laglimits(1 2)) iv(GDPG RegP  LoanAsset T10Y3M y*, eq(leve
> l)) twostep robust nodiffsargan
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
  Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.

Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: id                              Number of obs      =      2760
Time variable : year                            Number of groups   =       333
Number of instruments = 79                      Obs per group: min =         4
Wald chi2(15) =   1753.11                                      avg =      8.29
Prob > chi2   =     0.000                                      max =         9
-------------------------------------------------------------------------------
              |              Corrected
        zs310 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
--------------+----------------------------------------------------------------
        zs310 |
          L1. |   .9572188   .0388439    24.64   0.000     .8810861    1.033352
              |
         OBSR |   .6133742   .2603226     2.36   0.018     .1031513    1.123597
         EA_w |   1.342762   .6167183     2.18   0.029     .1340167    2.551508
              |
c.OBSR#c.EA_w |  -.0550683   .0267391    -2.06   0.039     -.107476   -.0026607
              |
         Size |   2.315932     1.0324     2.24   0.025     .2924644    4.339399
       AssetG |  -.1349076   .0396543    -3.40   0.001    -.2126286   -.0571866
         RegP |  -2.522424   3.659951    -0.69   0.491    -9.695797    4.650948
        LLPAR |   4.638541   1.866803     2.48   0.013     .9796753    8.297408
      NIasset |   2.004519   1.081241     1.85   0.064    -.1146744    4.123713
    LoanAsset |   .0135977   .1025165     0.13   0.894    -.1873309    .2145262
         LiqR |  -.0137577   .1131039    -0.12   0.903    -.2354371    .2079218
        DepFL |   .4468185   .1599196     2.79   0.005     .1333818    .7602552
         GDPG |   .2842781   .2387337     1.19   0.234    -.1836313    .7521875
       T10Y3M |   .4566393   .3484915     1.31   0.190    -.2263914     1.13967
         year |   .0268442   .1285312     0.21   0.835    -.2250722    .2787607
        _cons |  -131.8118   258.7221    -0.51   0.610    -638.8979    375.2743
-------------------------------------------------------------------------------
Instruments for first differences equation
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/2).(L.zs310 OBSR LiqR)
Instruments for levels equation
  Standard
    GDPG RegP LoanAsset T10Y3M year
    _cons
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    D.(L.zs310 OBSR LiqR)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -4.16  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =  -1.39  Pr > z =  0.165
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(63)   = 178.40  Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(63)   =  68.31  Prob > chi2 =  0.302
  (Robust, but weakened by many instruments.)
finally, any other issues in the command that needs correction!
Best,
Sad