J'évalue l'effet de la qualité des institutions (DIM_POL) sur le développement financier (DFI). Pour ce faire j'utilise le code ci-dessous, mais j'obtiens des écarts-types qui ne sont pas robustes. Mes questions sont:
1) Est-ce qu'il est correcte d'utiliser l'option orthogonal dans le GMM en système ?
2)Comment rendre les écarts-types robustes dans ce cas?

xtabond2 DFI l(1).DFI DIM_POL IDE INFLATION trade school PIB LEG_ORIGIN ETHNO dumyear dumASS , gmm(l(1).DFI DIM_POL IDE , lag (2 5)collapse) iv ( trade l.school LEG_ORIGIN INFLATION l.ETHNO PIB ) orthog two

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Dynamic panel-data estimation, two-step system GMM
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Group variable: CodeP Number of obs = 218
Time variable : Années Number of groups = 33
Number of instruments = 22 Obs per group: min = 0
Wald chi2(11) = 1.26e+06 avg = 6.61
Prob > chi2 = 0.000 max = 15
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DFI | Coef. Std. Err. z P>|z| [95% Conf. Interval]
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DFI |
L1. | .9325113 .0221082 42.18 0.000 .88918 .9758425
|
DIM_POL | .0013535 .0030446 0.44 0.657 -.0046137 .0073207
IDE | .0020712 .0005378 3.85 0.000 .0010172 .0031252
INFLATION | .0000168 6.84e-07 24.57 0.000 .0000155 .0000182
trade | -.008855 .0044052 -2.01 0.044 -.017489 -.0002209
school | .0005661 .0031509 0.18 0.857 -.0056096 .0067417
PIB | .011156 .0029087 3.84 0.000 .0054552 .0168569
LEG_ORIGIN | -.0011324 .0089684 -0.13 0.900 -.0187102 .0164454
ETHNO | .0049428 .0034474 1.43 0.152 -.0018141 .0116997
dumyear | .0065386 .0037234 1.76 0.079 -.0007591 .0138363
dumASS | .0163326 .0266006 0.61 0.539 -.0358036 .0684688
_cons | -.0695981 .0445086 -1.56 0.118 -.1568334 .0176373
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Warning: Uncorrected two-step standard errors are unreliable.

Instruments for orthogonal deviations equation
Standard
FOD.(trade L.school LEG_ORIGIN INFLATION L.ETHNO PIB)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/5).(L.DFI DIM_POL IDE) collapsed
Instruments for levels equation
Standard
trade L.school LEG_ORIGIN INFLATION L.ETHNO PIB
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.DFI DIM_POL IDE) collapsed
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Arellano-Bond test for AR(1) in first differences: z = -3.49 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -1.13 Pr > z = 0.257
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Sargan test of overid. restrictions: chi2(10) = 16.94 Prob > chi2 = 0.076
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(10) = 15.84 Prob > chi2 = 0.104
(Robust, but weakened by many instruments.)