Hello I have a panel data with firm-year data. number of firms approx 1000 and number of years 10
I am estimating the following:
firm_risk_at_t = firm_risk_at_t-1 + firm_stakeholder_practices_at_t + firm_stakeholder_practices_at_t-1 + stuff + error as
my coefficient of interest is really those on stakeholder practices, i.e. I can potentially justify running a model without the AR(1) term. Nevertheless, stakeholder practices is likely endogenous. As such, i am using xtabond2
I tried pooled OLS and fixed effects to estimate the above, and the difference GMM model estimate is closer to the OLS. I therefore conclude that system GMM is not really worth it and decide to use difference GMM. this is my code:
xtabond2 firm_risk L.firm_risk L(0/1).stakeholder_practices yr* , gmm(L.firm_risk) iv(stakeholder_practices yr*) robust small noleveleq orthogonal
when i run the above, i get a negative estimate on stakeholder practices.
When i run the above without the orthogonal option, i get a positive estimate.
Is there something blatantly different with that option?
Also, my p values for Sargan and Hansen tests are close to 0.000. Any suggestions?
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