GGM model AR(2)test problems

[Shoxrux Ochilov]

Hi everyone

xtdpdgmm L(0/1).l_in_gdp lfdi lindex pop_growt primary_school investment trade_open	Continent	ncountry,	gmm(lfdi	lindex)	iv
> (L2.l_in_gdp lfdi lindex trade_open pop_growt)
note: conventional one-step standard errors may not be valid
Generalized method of moments estimation
Fitting full model:
Step 1 f(b) = .24650489
Group variable: id Number of obs = 207
Time variable: year Number of groups = 14
Moment conditions: linear = 201 Obs per group: min = 9
nonlinear = 0 avg = 14.78571
total = 201 max = 19
l_in_gdp Coef. Std. Err. z P>z [95% Conf. Interval]
l_in_gdp
L1. .8759607 .0180031 48.66 0.000 .8406753 .9112461
lfdi .06454 .0116427 5.54 0.000 .0417208 .0873593
lindex .1935698 .0785464 2.46 0.014 .0396216 .347518
pop_growt -.0487656 .0168863 -2.89 0.004 -.0818621 -.0156692
primary_school -.0068646 .0025217 -2.72 0.006 -.0118071 -.0019221
investment -.0047026 .0020211 -2.33 0.020 -.0086639 -.0007413
trade_open .001291 .0003839 3.36 0.001 .0005385 .0020435
Continent -.0161817 .0396304 -0.41 0.683 -.0938558 .0614924
ncountry -.0002142 .0029079 -0.07 0.941 -.0059136 .0054852
_cons -.4694383 .3898809 -1.20 0.229 -1.233591 .2947142
Instruments corresponding to the linear moment conditions:
1, model(level):
2001:lfdi 2002:lfdi 2003:lfdi 2004:lfdi 2005:lfdi 2006:lfdi 2007:lfdi
2008:lfdi 2009:lfdi 2010:lfdi 2011:lfdi 2014:lfdi 2015:lfdi 2016:lfdi
2017:lfdi 2018:lfdi 2001:L1.lfdi 2002:L1.lfdi 2003:L1.lfdi 2004:L1.lfdi
2005:L1.lfdi 2006:L1.lfdi 2007:L1.lfdi 2008:L1.lfdi 2009:L1.lfdi
2010:L1.lfdi 2011:L1.lfdi 2012:L1.lfdi 2013:L1.lfdi 2014:L1.lfdi
2016:L1.lfdi 2017:L1.lfdi 2018:L1.lfdi 2002:L2.lfdi 2003:L2.lfdi
2004:L2.lfdi 2005:L2.lfdi 2006:L2.lfdi 2007:L2.lfdi 2008:L2.lfdi
2010:L2.lfdi 2011:L2.lfdi 2012:L2.lfdi 2013:L2.lfdi 2014:L2.lfdi
2016:L2.lfdi 2017:L2.lfdi 2003:L3.lfdi 2004:L3.lfdi 2005:L3.lfdi
2006:L3.lfdi 2007:L3.lfdi 2008:L3.lfdi 2009:L3.lfdi 2010:L3.lfdi
2011:L3.lfdi 2012:L3.lfdi 2013:L3.lfdi 2014:L3.lfdi 2017:L3.lfdi
2018:L3.lfdi 2019:L3.lfdi 2004:L4.lfdi 2005:L4.lfdi 2006:L4.lfdi
2007:L4.lfdi 2008:L4.lfdi 2009:L4.lfdi 2011:L4.lfdi 2012:L4.lfdi
2013:L4.lfdi 2014:L4.lfdi 2015:L4.lfdi 2017:L4.lfdi 2005:L5.lfdi
2006:L5.lfdi 2007:L5.lfdi 2008:L5.lfdi 2009:L5.lfdi 2010:L5.lfdi
2011:L5.lfdi 2012:L5.lfdi 2013:L5.lfdi 2014:L5.lfdi 2016:L5.lfdi
2006:L6.lfdi 2007:L6.lfdi 2008:L6.lfdi 2009:L6.lfdi 2010:L6.lfdi
2011:L6.lfdi 2012:L6.lfdi 2013:L6.lfdi 2014:L6.lfdi 2015:L6.lfdi
2016:L6.lfdi 2007:L7.lfdi 2008:L7.lfdi 2009:L7.lfdi 2010:L7.lfdi
2011:L7.lfdi 2012:L7.lfdi 2013:L7.lfdi 2014:L7.lfdi 2015:L7.lfdi
2016:L7.lfdi 2017:L7.lfdi 2018:L7.lfdi 2008:L8.lfdi 2009:L8.lfdi
2010:L8.lfdi 2011:L8.lfdi 2012:L8.lfdi 2013:L8.lfdi 2016:L8.lfdi
2017:L8.lfdi 2009:L9.lfdi 2010:L9.lfdi 2011:L9.lfdi 2012:L9.lfdi
2013:L9.lfdi 2014:L9.lfdi 2010:L10.lfdi 2011:L10.lfdi 2012:L10.lfdi
2013:L10.lfdi 2014:L10.lfdi 2015:L10.lfdi 2017:L10.lfdi 2011:L11.lfdi
2012:L11.lfdi 2013:L11.lfdi 2014:L11.lfdi 2015:L11.lfdi 2012:L12.lfdi
2013:L12.lfdi 2014:L12.lfdi 2015:L12.lfdi 2016:L12.lfdi 2018:L12.lfdi
2013:L13.lfdi 2014:L13.lfdi 2015:L13.lfdi 2017:L13.lfdi 2014:L14.lfdi
2015:L14.lfdi 2016:L14.lfdi 2017:L14.lfdi 2018:L14.lfdi 2015:L15.lfdi
2016:L15.lfdi 2017:L15.lfdi 2016:L16.lfdi 2017:L16.lfdi 2018:L16.lfdi
2018:L18.lfdi 2001:lindex 2003:lindex 2004:lindex 2005:lindex 2006:lindex
2007:lindex 2008:lindex 2001:L1.lindex 2002:L1.lindex 2003:L1.lindex
2004:L1.lindex 2009:L1.lindex 2002:L2.lindex 2003:L2.lindex 2004:L2.lindex
2005:L2.lindex 2006:L2.lindex 2007:L2.lindex 2003:L3.lindex 2004:L3.lindex
2005:L3.lindex 2006:L3.lindex 2007:L3.lindex 2008:L3.lindex 2011:L3.lindex
2004:L4.lindex 2005:L4.lindex 2006:L4.lindex 2012:L4.lindex 2005:L5.lindex
2007:L5.lindex 2013:L5.lindex 2006:L6.lindex 2007:L7.lindex 2008:L8.lindex
2016:L8.lindex 2010:L10.lindex 2011:L11.lindex 2015:L13.lindex
2, model(level):
L2.l_in_gdp lfdi lindex trade_open pop_growt
3, model(level):
_cons
. estat overid
Sargan-Hansen test of the overidentifying restrictions
H0: overidentifying restrictions are valid
1-step moment functions, 1-step weighting matrix chi2(191) = 199.0118
note: * Prob > chi2 = 0.3306
1-step moment functions, 2-step weighting matrix chi2(191) = 14.0000
note: * Prob > chi2 = 1.0000
* asymptotically invalid if the one-step weighting matrix is not optimal
. estat serial, ar(1/3)
Arellano-Bond test for autocorrelation of the first-differenced residuals
H0: no autocorrelation of order 1 z = -2.0755 Prob > z = 0.0379
H0: no autocorrelation of order 2 z = -2.6745 Prob > z = 0.0075
H0: no autocorrelation of order 3 z = 1.4412 Prob > z = 0.1495
. estat serial, ar(1/2) xtdpdgmm L(0/1).l_in_gdp lfdi lindex pop_growt primary_school investment trade_open Continent ncountry, gmm(lfdi lindex) iv > (L2.l_in_gdp lfdi lindex trade_open pop_growt) note: conventional one-step standard errors may not be valid Generalized method of moments estimation Fitting full model: Step 1 f(b) = .24650489 Group variable: id Number of obs = 207 Time variable: year Number of groups = 14 Moment conditions: linear = 201 Obs per group: min = 9 nonlinear = 0 avg = 14.78571 total = 201 max = 19 l_in_gdp Coef. Std. Err. z P>z [95% Conf. Interval] l_in_gdp L1. .8759607 .0180031 48.66 0.000 .8406753 .9112461 lfdi .06454 .0116427 5.54 0.000 .0417208 .0873593 lindex .1935698 .0785464 2.46 0.014 .0396216 .347518 pop_growt -.0487656 .0168863 -2.89 0.004 -.0818621 -.0156692 primary_school -.0068646 .0025217 -2.72 0.006 -.0118071 -.0019221 investment -.0047026 .0020211 -2.33 0.020 -.0086639 -.0007413 trade_open .001291 .0003839 3.36 0.001 .0005385 .0020435 Continent -.0161817 .0396304 -0.41 0.683 -.0938558 .0614924 ncountry -.0002142 .0029079 -0.07 0.941 -.0059136 .0054852 _cons -.4694383 .3898809 -1.20 0.229 -1.233591 .2947142 Instruments corresponding to the linear moment conditions: 1, model(level): 2001:lfdi 2002:lfdi 2003:lfdi 2004:lfdi 2005:lfdi 2006:lfdi 2007:lfdi 2008:lfdi 2009:lfdi 2010:lfdi 2011:lfdi 2014:lfdi 2015:lfdi 2016:lfdi 2017:lfdi 2018:lfdi 2001:L1.lfdi 2002:L1.lfdi 2003:L1.lfdi 2004:L1.lfdi 2005:L1.lfdi 2006:L1.lfdi 2007:L1.lfdi 2008:L1.lfdi 2009:L1.lfdi 2010:L1.lfdi 2011:L1.lfdi 2012:L1.lfdi 2013:L1.lfdi 2014:L1.lfdi 2016:L1.lfdi 2017:L1.lfdi 2018:L1.lfdi 2002:L2.lfdi 2003:L2.lfdi 2004:L2.lfdi 2005:L2.lfdi 2006:L2.lfdi 2007:L2.lfdi 2008:L2.lfdi 2010:L2.lfdi 2011:L2.lfdi 2012:L2.lfdi 2013:L2.lfdi 2014:L2.lfdi 2016:L2.lfdi 2017:L2.lfdi 2003:L3.lfdi 2004:L3.lfdi 2005:L3.lfdi 2006:L3.lfdi 2007:L3.lfdi 2008:L3.lfdi 2009:L3.lfdi 2010:L3.lfdi 2011:L3.lfdi 2012:L3.lfdi 2013:L3.lfdi 2014:L3.lfdi 2017:L3.lfdi 2018:L3.lfdi 2019:L3.lfdi 2004:L4.lfdi 2005:L4.lfdi 2006:L4.lfdi 2007:L4.lfdi 2008:L4.lfdi 2009:L4.lfdi 2011:L4.lfdi 2012:L4.lfdi 2013:L4.lfdi 2014:L4.lfdi 2015:L4.lfdi 2017:L4.lfdi 2005:L5.lfdi 2006:L5.lfdi 2007:L5.lfdi 2008:L5.lfdi 2009:L5.lfdi 2010:L5.lfdi 2011:L5.lfdi 2012:L5.lfdi 2013:L5.lfdi 2014:L5.lfdi 2016:L5.lfdi 2006:L6.lfdi 2007:L6.lfdi 2008:L6.lfdi 2009:L6.lfdi 2010:L6.lfdi 2011:L6.lfdi 2012:L6.lfdi 2013:L6.lfdi 2014:L6.lfdi 2015:L6.lfdi 2016:L6.lfdi 2007:L7.lfdi 2008:L7.lfdi 2009:L7.lfdi 2010:L7.lfdi 2011:L7.lfdi 2012:L7.lfdi 2013:L7.lfdi 2014:L7.lfdi 2015:L7.lfdi 2016:L7.lfdi 2017:L7.lfdi 2018:L7.lfdi 2008:L8.lfdi 2009:L8.lfdi 2010:L8.lfdi 2011:L8.lfdi 2012:L8.lfdi 2013:L8.lfdi 2016:L8.lfdi 2017:L8.lfdi 2009:L9.lfdi 2010:L9.lfdi 2011:L9.lfdi 2012:L9.lfdi 2013:L9.lfdi 2014:L9.lfdi 2010:L10.lfdi 2011:L10.lfdi 2012:L10.lfdi 2013:L10.lfdi 2014:L10.lfdi 2015:L10.lfdi 2017:L10.lfdi 2011:L11.lfdi 2012:L11.lfdi 2013:L11.lfdi 2014:L11.lfdi 2015:L11.lfdi 2012:L12.lfdi 2013:L12.lfdi 2014:L12.lfdi 2015:L12.lfdi 2016:L12.lfdi 2018:L12.lfdi 2013:L13.lfdi 2014:L13.lfdi 2015:L13.lfdi 2017:L13.lfdi 2014:L14.lfdi 2015:L14.lfdi 2016:L14.lfdi 2017:L14.lfdi 2018:L14.lfdi 2015:L15.lfdi 2016:L15.lfdi 2017:L15.lfdi 2016:L16.lfdi 2017:L16.lfdi 2018:L16.lfdi 2018:L18.lfdi 2001:lindex 2003:lindex 2004:lindex 2005:lindex 2006:lindex 2007:lindex 2008:lindex 2001:L1.lindex 2002:L1.lindex 2003:L1.lindex 2004:L1.lindex 2009:L1.lindex 2002:L2.lindex 2003:L2.lindex 2004:L2.lindex 2005:L2.lindex 2006:L2.lindex 2007:L2.lindex 2003:L3.lindex 2004:L3.lindex 2005:L3.lindex 2006:L3.lindex 2007:L3.lindex 2008:L3.lindex 2011:L3.lindex 2004:L4.lindex 2005:L4.lindex 2006:L4.lindex 2012:L4.lindex 2005:L5.lindex 2007:L5.lindex 2013:L5.lindex 2006:L6.lindex 2007:L7.lindex 2008:L8.lindex 2016:L8.lindex 2010:L10.lindex 2011:L11.lindex 2015:L13.lindex 2, model(level): L2.l_in_gdp lfdi lindex trade_open pop_growt 3, model(level): _cons . estat overid Sargan-Hansen test of the overidentifying restrictions H0: overidentifying restrictions are valid 1-step moment functions, 1-step weighting matrix chi2(191) = 199.0118 note: * Prob > chi2 = 0.3306 1-step moment functions, 2-step weighting matrix chi2(191) = 14.0000 note: * Prob > chi2 = 1.0000 * asymptotically invalid if the one-step weighting matrix is not optimal . estat serial, ar(1/3) Arellano-Bond test for autocorrelation of the first-differenced residuals H0: no autocorrelation of order 1 z = -2.0755 Prob > z = 0.0379 H0: no autocorrelation of order 2 z = -2.6745 Prob > z = 0.0075 H0: no autocorrelation of order 3 z = 1.4412 Prob > z = 0.1495 . estat serial, ar(1/2) Arellano-Bond test for autocorrelation of the first-differenced residuals H0: no autocorrelation of order 1 z = -2.0755 Prob > z = 0.0379 H0: no autocorrelation of order 2 z = -2.6745 Prob > z = 0.0075
Arellano-Bond test for autocorrelation of the first-differenced residuals
H0: no autocorrelation of order 1 z = -2.0755 Prob > z = 0.0379
H0: no autocorrelation of order 2 z = -2.6745 Prob > z = 0.0075

is this statistically significant? how to interpret this.
thank's