Hello,
I am working with a dynamic panel data model, the method I am using is a System GMM, my T = 10 and my N = 136. What I am trying to prove is the effect that the participation of women in politics has on public health spending. My dependent variable is Domestic general government health expenditure (% of GDP) and as explanatory variables I have L. Domestic general government health expenditure (% of GDP), GDP per capita, population over 65, General government net lending / borrowing% GDP, Global Gender Gap Political Empowerment subindex, democracy and Urbanization. The command I use for the regression is xtdpdgmm. The problem I have is that it does not pass the Sargan test, what could I do?
Generalized method of moments estimat
Fitting full model:
Step 1 f(b) 0.00004361
Step 2 f(b) 0.3941367
Group variable: id Number of obs 1510
Time variable: Year Number of groups 140
Moment conditions: linear 22 Obs per group:
nonlinear 0 min 1
total 22 avg 10.78571
max 12
(Std. Err. adjusted for 140 clusters in id)
Domestic general government health expenditure (% of GDP) Coef. WC-Robust Std. Err. z P>|z| [95% Conf. Interval]
Domestic general government health expenditure (% of GDP) 0.3717631 0.0553864 6.71 0.000 0.2632076 0.4803185
L1.
GDP per capita -4.25E-08 9.66E-08 -0.44 0.660 -2.32E-07 1.47E-07
Population65 0.0937279 0.0415555 2.26 0.024 0.0122806 0.1751751
General government net lending/borrowing %GDP -0.0321863 0.0059574 -5.40 0.000 -0.0438626 -0.0205101
Global Gender Gap Political Empowerment subindex 0.0026242 0.0022592 1.16 0.245 -0.0018037 0.0070521
democracy 0.000138 0.0001077 1.28 0.2 -0.000073 0.000349
Urbanización 0.0105422 0.0069767 1.51 0.131 -0.0031318 0.0242163
Instruments corresponding to the linear moment conditions:
1, model(diff):
Domestic_Health L1.Domestic_Health L2.Domestic_Health
2, model(diff):
D.GDP_PPP L1.D.GDP_PPP L2.D.GDP_PPP D.Population65 L1.D.Population65
L2.D.Population65 D.LendingBorrowing L1.D.LendingBorrowing
L2.D.LendingBorrowing D.GPE_subindex L1.D.GPE_subindex L2.D.GPE_subindex
D.Polity2 L1.D.Polity2 L2.D.Polity2 D.Urbanization L1.D.Urbanization
L2.D.Urbanization
3, model(level):
_cons

. estat serial

Arellano-Bond test for autocorrelation of the first-differenced residuals
H0: no autocorrelation of order 1: z = -4.6007 Prob > |z| = 0.0000
H0: no autocorrelation of order 2: z = 0.0692 Prob > |z| = 0.9449

. estat overid

Sargan-Hansen test of the overidentifying restrictions
H0: overidentifying restrictions are valid

2-step moment functions, 2-step weighting matrix chi2(14) = 55.1791
Prob > chi2 = 0.0000

2-step moment functions, 3-step weighting matrix chi2(14) = 58.1095
Prob > chi2 = 0.0000