Dear Statalist community,

I am using Stata 13 and run xtabond2. When running xtabond2 with nocons option, no Wald Chi 2 result is produced. If a constant is included, a Wald Chi 2 statistic is included in the output.

After reading the Stata help, the paper How to do Xtabond2: An Introduction to Difference and System GMM in Stata, Roodman (2009) (https://journals.sagepub.com/doi/10....867X0900900106) and using the search function, I understood that it might be related to the number of coefficients and clusters in my model.

However, I do not understand why adding a constant solves the problem. Can anyone help me to understand the problem and how to proceed? I'd prefer to use the model without a constant. Please find the regression outputs including command below. Please also let me know if I should add any additional information or if I did not correctly paste my results into the post. I am new to Statalist and read the FAQs but I am not sure if I posted correctly.

1) with constant

Code:
xtabond2 SNL5YSR L.SNL5YSR CET1R VSTOXX YSOV ONR LLRGCL ROE WFTA , gmm(SNL5YSR, lag(2 2) coll eq(diff)) gmm(SNL5YSR, lag(1 1) coll eq(level)) gmm(CET1R LLRGCL ROE WFTA, lag (1 1) eq(diff) coll) gmm(CET1R LLRGCL ROE WFTA, lag (0 0) eq(level) coll)  iv(VSTOXX YSOV ONR) twostep robust
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.

Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: SP_ENTITY_ID                    Number of obs      =       503
Time variable : TimeID                          Number of groups   =        22
Number of instruments = 14                      Obs per group: min =        21
Wald chi2(8)  =   7769.91                                      avg =     22.86
Prob > chi2   =     0.000                                      max =        24
------------------------------------------------------------------------------
             |              Corrected
     SNL5YSR |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     SNL5YSR |
         L1. |   .7236356   .1245733     5.81   0.000     .4794765    .9677947
             |
       CET1R |    -2.7957   1.132513    -2.47   0.014    -5.015384    -.576016
      VSTOXX |   1.760592   .2525506     6.97   0.000     1.265602    2.255582
        YSOV |   .2334796   .0893604     2.61   0.009     .0583365    .4086227
         ONR |  -2.589678   2.239863    -1.16   0.248    -6.979729    1.800373
      LLRGCL |  -5.618255   3.577531    -1.57   0.116    -12.63009    1.393576
         ROE |  -.4537094   .4546517    -1.00   0.318     -1.34481    .4373916
        WFTA |  -.3023635   .3822196    -0.79   0.429      -1.0515    .4467731
       _cons |   44.18907    21.5631     2.05   0.040      1.92617    86.45197
------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
    D.(VSTOXX YSOV ONR)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L.(CET1R LLRGCL ROE WFTA) collapsed
    L2.SNL5YSR collapsed
Instruments for levels equation
  Standard
    VSTOXX YSOV ONR
    _cons
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    D.(CET1R LLRGCL ROE WFTA) collapsed
    DL.SNL5YSR collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -1.97  Pr > z =  0.049
Arellano-Bond test for AR(2) in first differences: z =   1.20  Pr > z =  0.228
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(5)    =  19.63  Prob > chi2 =  0.001
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(5)    =   9.00  Prob > chi2 =  0.109
  (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:
  GMM instruments for levels
    Hansen test excluding group:     chi2(0)    =   0.00  Prob > chi2 =      .
    Difference (null H = exogenous): chi2(5)    =   9.00  Prob > chi2 =  0.109
  gmm(SNL5YSR, collapse eq(diff) lag(2 2))
    Hansen test excluding group:     chi2(4)    =   8.99  Prob > chi2 =  0.061
    Difference (null H = exogenous): chi2(1)    =   0.01  Prob > chi2 =  0.928
  gmm(SNL5YSR, collapse eq(level) lag(1 1))
    Hansen test excluding group:     chi2(4)    =   8.70  Prob > chi2 =  0.069
    Difference (null H = exogenous): chi2(1)    =   0.30  Prob > chi2 =  0.585
  gmm(CET1R LLRGCL ROE WFTA, collapse eq(diff) lag(1 1))
    Hansen test excluding group:     chi2(1)    =   1.09  Prob > chi2 =  0.297
    Difference (null H = exogenous): chi2(4)    =   7.91  Prob > chi2 =  0.095
  gmm(CET1R LLRGCL ROE WFTA, collapse eq(level) lag(0 0))
    Hansen test excluding group:     chi2(1)    =   7.66  Prob > chi2 =  0.006
    Difference (null H = exogenous): chi2(4)    =   1.34  Prob > chi2 =  0.855
  iv(VSTOXX YSOV ONR)
    Hansen test excluding group:     chi2(2)    =   2.11  Prob > chi2 =  0.349
    Difference (null H = exogenous): chi2(3)    =   6.89  Prob > chi2 =  0.075


2) without constant

Code:
. xtabond2 SNL5YSR L.SNL5YSR CET1R VSTOXX YSOV ONR LLRGCL ROE WFTA , gmm(SNL5YSR, lag(2 2) coll eq(diff)) gmm(SNL5YSR, lag(1 1) coll eq(level)) gmm(CET1R LLRGCL ROE WFTA, lag (1 1) eq
> (diff) coll) gmm(CET1R LLRGCL ROE WFTA, lag (0 0) eq(level) coll)  iv(VSTOXX YSOV ONR) twostep robust nocons
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.

Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: SP_ENTITY_ID                    Number of obs      =       503
Time variable : TimeID                          Number of groups   =        22
Number of instruments = 13                      Obs per group: min =        21
Wald chi2(0)  =         .                                      avg =     22.86
Prob > chi2   =         .                                      max =        24
------------------------------------------------------------------------------
             |              Corrected
     SNL5YSR |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     SNL5YSR |
         L1. |    .749729   .1454875     5.15   0.000     .4645788    1.034879
             |
       CET1R |  -3.331046   1.410676    -2.36   0.018     -6.09592   -.5661716
      VSTOXX |   2.901118   .7974796     3.64   0.000     1.338086    4.464149
        YSOV |   .1807601   .0801348     2.26   0.024     .0236987    .3378214
         ONR |  -15.24867   10.87028    -1.40   0.161    -36.55404    6.056697
      LLRGCL |  -3.283477   2.566796    -1.28   0.201    -8.314305    1.747351
         ROE |  -.2305399   .3018184    -0.76   0.445    -.8220931    .3610133
        WFTA |   .2303409   .2724232     0.85   0.398    -.3035987    .7642806
------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
    D.(VSTOXX YSOV ONR)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L.(CET1R LLRGCL ROE WFTA) collapsed
    L2.SNL5YSR collapsed
Instruments for levels equation
  Standard
    VSTOXX YSOV ONR
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    D.(CET1R LLRGCL ROE WFTA) collapsed
    DL.SNL5YSR collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -2.09  Pr > z =  0.036
Arellano-Bond test for AR(2) in first differences: z =   0.94  Pr > z =  0.346
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(5)    =   9.94  Prob > chi2 =  0.077
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(5)    =   7.77  Prob > chi2 =  0.169
  (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:
  GMM instruments for levels
    Hansen test excluding group:     chi2(0)    =   0.00  Prob > chi2 =      .
    Difference (null H = exogenous): chi2(5)    =   7.77  Prob > chi2 =  0.169
  gmm(SNL5YSR, collapse eq(diff) lag(2 2))
    Hansen test excluding group:     chi2(4)    =   7.27  Prob > chi2 =  0.122
    Difference (null H = exogenous): chi2(1)    =   0.50  Prob > chi2 =  0.479
  gmm(SNL5YSR, collapse eq(level) lag(1 1))
    Hansen test excluding group:     chi2(4)    =   7.72  Prob > chi2 =  0.102
    Difference (null H = exogenous): chi2(1)    =   0.05  Prob > chi2 =  0.816
  gmm(CET1R LLRGCL ROE WFTA, collapse eq(diff) lag(1 1))
    Hansen test excluding group:     chi2(1)    =   0.00  Prob > chi2 =  0.986
    Difference (null H = exogenous): chi2(4)    =   7.77  Prob > chi2 =  0.100
  gmm(CET1R LLRGCL ROE WFTA, collapse eq(level) lag(0 0))
    Hansen test excluding group:     chi2(1)    =   4.68  Prob > chi2 =  0.031
    Difference (null H = exogenous): chi2(4)    =   3.09  Prob > chi2 =  0.542
  iv(VSTOXX YSOV ONR)
    Hansen test excluding group:     chi2(2)    =   0.97  Prob > chi2 =  0.616
    Difference (null H = exogenous): chi2(3)    =   6.80  Prob > chi2 =  0.078
Please also find a dataex, count(10) of the variables included in the model:
dataex SNL5YSR CET1R VSTOXX YSOV ONR LLRGCL ROE WFTA, count(10)

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input double SNL5YSR float CET1R double(VSTOXX YSOV ONR) float LLRGCL double ROE float WFTA
111.62393939393941         . 16.9061  55.91924242424243   .12007812499999998 4.4316688                .         .
 97.85031249999999      10.9 18.6417  52.44968750000002    .1821746031746032 4.4926686  1.7693218833284         .
 82.05261538461538      10.9 15.9833  43.87292307692308   .19156451612903225 4.5539865 5.14868005482391  43.37068
 76.44727272727275      11.1 16.8353  42.17227272727272  .022969696969696973 4.3474116 6.69158714103523  41.57645
 80.86666666666666 10.914593 21.5048  50.39424242424242 -.015109375000000012 4.1446137 5.31285262542873  38.25728
 82.59453125000002      10.5 22.6771  44.57796875000002 -.045888888888888896 4.0511775 6.41991374492188 35.974506
  80.8106153846154 11.006385 23.1731  34.94323076923077  -.10019354838709676  3.962838 8.05379174411497  38.81546
  85.8978787878788      11.1 26.6899  33.29984848484849  -.12483333333333332  3.806642  8.1975740861538  38.23668
 74.91257575757577 11.419175 23.4128  28.50075757575758  -.15786153846153836  3.653196 7.23794858915584 37.924942
  89.8449230769231      11.5  28.611 31.730923076923073   -.2558709677419355  3.603081 6.51920838183935  38.76804
end

Listed 10 out of 604 observations
Thank you very much
Niklas