Hello,
This is my first time running a GMM model. Using below command;
xtabond2 trisk l.trisk bind crcomind fenex feric femex femric fexric fbric inrel rsan cbmeet banksize flev totd dveq i.year, gmm(trisk, collapse eq(diff)) iv(bind crcomind fenex feric femex femric fexric fbric inrel rsan cbmeet banksize flev totd dveq i.year, equation(level)) small
the following result output was obtained.
Dynamic panel-data estimation, one-step system GMM
Group variable: bankid Number of obs = 131
Time variable : year Number of groups = 15
Number of instruments = 33 Obs per group: min = 7
F(26, 104) = 233.03 avg = 8.73
Prob > F = 0.000 max = 9
risk Coef. Std. Err. t P>t [95% Conf. Interval]
trisk
L1. -.4832774 .1592671 -3.03 0.003 -.79911 -.1674449
bind .4808717 .1189319 4.04 0.000 .2450252 .7167182
crcomind -.1221191 .0597763 -2.04 0.044 -.2406577 -.0035804
fenex .0224178 .1072716 0.21 0.835 -.1903058 .2351413
feric -.1011182 .0822007 -1.23 0.221 -.2641253 .061889
femex .6304694 .1553619 4.06 0.000 .322381 .9385578
femric -.2678439 .119203 -2.25 0.027 -.504228 -.0314599
fexric -.1038919 .1274396 -0.82 0.417 -.3566094 .1488256
fabric .0158162 .0043941 3.60 0.000 .0071026 .0245299
inrel .1100263 .2511173 0.44 0.662 -.3879488 .6080013
rsanc .0556596 .0772366 0.72 0.473 -.0975035 .2088227
cbmeet -.1160424 .0336332 -3.45 0.001 -.1827383 -.0493465
banksize .0841392 .0184501 4.56 0.000 .0475521 .1207264
flev .5974267 .088342 6.76 0.000 .4222412 .7726122
totd .4816275 .0838481 5.74 0.000 .3153535 .6479014
dveq -.4930412 .2164584 -2.28 0.025 -.9222863 -.063796
year
2009 0 (empty)
2010 -.5168194 .1706107 -3.03 0.003 -.8551468 -.178492
2011 -.5984965 .1719848 -3.48 0.001 -.9395488 -.2574442
2012 -.6483525 .1756122 -3.69 0.000 -.996598 -.3001069
2013 -.6853463 .1826031 -3.75 0.000 -1.047455 -.3232375
2014 -.6825738 .18668 -3.66 0.000 -1.052767 -.3123804
2015 -.6748044 .1854153 -3.64 0.000 -1.04249 -.3071189
2016 -.6777204 .1879442 -3.61 0.000 -1.050421 -.30502
2017 -.7230301 .1895028 -3.82 0.000 -1.098821 -.3472389
2018 -.7533293 .1883131 -4.00 0.000 -1.126761 -.3798973
_cons 0 (omitted)
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/9).trisk collapsed
Instruments for levels equation
Standard
bind crcomind fenex feric femex femric fexric fbric inrel rsanc cbmeet
banksize flev totd dveq 2009b.year 2010.year 2011.year 2012.year 2013.year
2014.year 2015.year 2016.year 2017.year 2018.year
_cons
Arellano-Bond test for AR(1) in first differences: z = -2.11 Pr > z = 0.035
Arellano-Bond test for AR(2) in first differences: z = -2.25 Pr > z = 0.024
Sargan test of overid. restrictions: chi2(6) = 10.22 Prob > chi2 = 0.116
(Not robust, but not weakened by many instruments.)
I am, however, not sure if the diagnostic are pointing to the right results. I have also attempted twostep but the results looked rather weird. Can you please advice on using the above result or what to do to make it better.
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