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Number of obs
Number of groups
Obs per group: min
avg
max
Corrected
Std. Err.
.0774284
.0098656
.0007218
.0426908
.0001037
.0003117
7.67e-07
.1227

t
-2.18
1.67
1.07
-0.55
0.51
0.43
-0.61
12.20

P>|t|
0.032
0.098

0.287
0.587
0.610
0.671
0.545
0.000

=
=
=
=
=

595
91
1
6.54
8

[95% Conf. Interval]
-.3226257
-.0031281
-.0006602
-.1081022
-.000153
-.0004866
-1.99e-06
1.253762

-.0149758

.0360715
.0022077
.0615233
.0002591
.000752
1.06e-06
1.741292

Instruments for first differences equation
Standard
D.(IK2 CK2 YK2 IK2sq DK2sq)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/7).(CK2FD12 DK2sqFD12)
Instruments for levels equation
Standard
IK2 CK2 YK2 IK2sq DK2sq
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(CK2FD12 DK2sqFD12)
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of
(Not robust,
Hansen test of
(Robust, but

overid. restrictions: chi2(68)
= 91.07
but not weakened by many instruments.)
overid. restrictions: chi2(68)

= 78.03
weakened by many instruments.)

-2.76
0.56

Pr > z =
Pr > z =

0.006
0.576

Prob > chi2 =

0.032

Prob > chi2 =

0.190

Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group:
chi2(54)
= 69.75 Prob >
Difference (null H = exogenous): chi2(14)
=
8.29 Prob >
iv(IK2 CK2 YK2 IK2sq DK2sq)
Hansen test excluding group:

chi2(63)
= 67.61 Prob >
Difference (null H = exogenous): chi2(5)
= 10.42 Prob >

.

chi2 =
chi2 =

0.073
0.874

chi2 =
chi2 =

0.323
0.064


. xtabond2 IK IK2 IK2sq YK2 CK2 DK2sq CK2FD22 DK2sqFD22 , gmm( CK2FD22 DK2sqFD22 ) iv( CK2 IK2
> IK2sq YK2 DK2sq ) two robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
Group variable: nfirm
Time variable : Year
Number of instruments = 76

F(7, 90)
=
6.96
Prob > F
=
0.000

IK

Coef.

IK2
IK2sq
YK2
CK2
DK2sq
CK2FD22
DK2sqFD22
_cons

-.1687459
.0164342
.0007888
-.024467
.0000694
.0001531
-6.46e-07
1.496951

Number of obs

Number of groups
Obs per group: min
avg
max
Corrected
Std. Err.
.077384
.0098233
.0007343
.0481648
.0001171
.0003926
9.53e-07
.1223088

t
-2.18
1.67
1.07
-0.51
0.59
0.39
-0.68
12.24

P>|t|
0.032
0.098
0.286
0.613

0.555
0.697
0.500
0.000

=
=
=
=
=

595
91
1
6.54
8

[95% Conf. Interval]
-.3224827
-.0030814
-.0006701
-.1201547
-.0001632
-.0006268
-2.54e-06
1.253963

-.0150091
.0359498
.0022476

.0712207
.0003021
.0009331
1.25e-06
1.739939

Instruments for first differences equation
Standard
D.(CK2 IK2 IK2sq YK2 DK2sq)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/7).(CK2FD22 DK2sqFD22)
Instruments for levels equation
Standard
CK2 IK2 IK2sq YK2 DK2sq
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(CK2FD22 DK2sqFD22)
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of
(Not robust,
Hansen test of
(Robust, but

overid. restrictions: chi2(68)
= 90.75
but not weakened by many instruments.)
overid. restrictions: chi2(68)
= 78.40
weakened by many instruments.)

-2.76
0.56

Pr > z =
Pr > z =

0.006
0.573

Prob > chi2 =

0.034

Prob > chi2 =

0.182

Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group:
chi2(54)
= 69.53 Prob >
Difference (null H = exogenous): chi2(14)
=
8.87 Prob >
iv(CK2 IK2 IK2sq YK2 DK2sq)
Hansen test excluding group:
chi2(63)
= 69.37 Prob >

Difference (null H = exogenous): chi2(5)
=
9.03 Prob >

chi2 =
chi2 =

0.076
0.839

chi2 =
chi2 =

0.271
0.108