Hello everyone!

I'm confused by my Stata-output. I'm doing a system-GMM estimation with bank risk as a dependent variable. My main variable of interest is supervisory stress, for which I use 2 different proxies (1 and 2 use proxy 1; 3 and 4 use proxy 2). I notice that the significance of some variables completely disappears when switching to the second proxy, look at Bank Size for example. I'm struggling with how to explain this, as there seems to be no relationship between Bank Size and the component that differs across proxies. Could this have to do with my instrumentation?

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Here is my code.

xtabond2 risk l.risk size L2GDP L2INFL L2INT L2LI CAP MON SUP DEP LIQ ENT ACT STAFFASSETS2 SKILL y* if inrange(year, 2014, 2019), gmm(l.risk L2GDP L2INFL) iv(L1FREE size y*, equation(level)) robust orthogonal small

Kind regards,

Philippe