ofi gdpg money short LONG spread bagdp bcgdp penetra penzija stocks frin dum

ofi gdpg money bankgdp penetra penzija short stock spread fdi dum dum1
ofi gdpg money bcar bankgdp penetra penzija short stock spread fdi dum2

xtabond2 OFI1 L.OFI1 GDPG MONEY SHORT BANKGDP PENETRA PENZIJA dummy1, gmm(GDPG MONEY
SHORT BANKGDP PENETRA PENZIJA , eq(diff) lag(2 2)) iv(dummy1)orthogonal

xtabond2 OFI1 L.OFI1 GDPG MONEY SHORT INF DCPS PENETRA PENZIJA dummy1, gmm(GDPG MONEY
SPREAD SHORT INF DCPS PENETRA PENZIJA dummy1, eq(lev) lag(0 2)) iv(dummy1)

xtabond2 OFI1 L.OFI1 GDPG MONEY SHORT BANKGDP PENETRA PENZIJA STOC SPREAD FI dummy2
dummy3, gmm(GDPG MONEY SHORT BANKGDP PENETRA PENZIJA STOC SPREAD FI, lag(1 1) collapse)
iv(dummy2 dummy3)robust small
generate dummy1 = (year>=2006 & year<=2009)

xtabond2 OFI1 L.OFI1 GDPG MONEY SPREAD SHORT BANKGDP PENETRA PENZIJA STOC INF FI dummy1,
gmm(GDPG MONEY SPREAD SHORT BANKGDP PENETRA PENZIJA STOC INF FI, eq(lev) lag(0 2)) iv(FI
dummy1)

. xtabond2 OFI1 L.OFI1 GDPG MONEY SPREAD SHORT BANKGDP PENETRA PENZIJA STOC INF FI dummy1, gmm(GDPG MONEY SPREAD SHORT BANKGDP PENETRA PENZIJA STOC INF FI, eq(lev) lag(0 2)) iv(FI dummy1)
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
Warning: Number of instruments may be large relative to number of observations.

Dynamic panel-data estimation, one-step system GMM

Group variable: countrynum Number of obs = 85

Time variable : GODINA Number of groups = 11
Number of instruments = 85 Obs per group: min = 4
Wald chi2(12) = 32.82 avg = 7.73
Prob > chi2 = 0.001 max = 18

OFI1 Coef. Std. Err. z P>|z| [95% Conf. Interval]

OFI1
L1. .2012318 .0999083 2.01 0.044 .0054151 .3970486

GDPG 5.37594 1.942798 2.77 0.006 1.568125 9.183754

MONEY .4462539 .7870631 0.57 0.571 -1.096361 1.988869
SPREAD 4.621366 4.097631 1.13 0.259 -3.409844 12.65258
SHORT 4.43036 2.810788 1.58 0.115 -1.078682 9.939403
BANKGDP -.4169071 .8380636 -0.50 0.619 -2.059482 1.225667
PENETRA 1.05969 8.067224 0.13 0.895 -14.75178 16.87116
PENZIJA .7281351 2.745055 0.27 0.791 -4.652073 6.108343
STOC -.0575053 1.335537 -0.04 0.966 -2.675111 2.5601
INF -3.632356 3.437086 -1.06 0.291 -10.36892 3.104208
FI -28.45002 131.4218 -0.22 0.829 -286.032 229.1319
dummy1 33.36187 19.46461 1.71 0.087 -4.788059 71.51181
_cons -26.0257 56.97122 -0.46 0.648 -137.6872 85.63583

Instruments for first differences equation

Standard
D.(FI dummy1)
Instruments for levels equation
Standard
FI dummy1
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL(0/2).(GDPG MONEY SPREAD SHORT BANKGDP PENETRA PENZIJA STOC INF FI)

Arellano-Bond test for AR(1) in first differences: z = -3.53 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = -1.87 Pr > z = 0.061

Sargan test of overid. restrictions: chi2(72) = 72.69 Prob > chi2 = 0.455
(Not robust, but not weakened by many instruments.)
Dependent Variable: OFI
Method: Panel EGLS (Cross-section weights)
Date: 06/09/20 Time: 21:22
Sample (adjusted): 2000 2017
Periods included: 18
Cross-sections included: 11
Total panel (unbalanced) observations: 101
Linear estimation after one-step weighting matrix
White cross-section standard errors & covariance (no d.f. correction)

Variable Coefficient Std. Error t-Statistic Prob.  

C 45.21174 24.86458 1.818319 0.0726

GDPG 1.761450 0.568438 3.098756 0.0027
MONEY 0.201535 0.278026 0.724878 0.4706
SHORT 2.909434 1.121291 2.594718 0.0112
BANKGDP -0.798301 0.347662 -2.296199 0.0242
PENETRA -4.119711 6.557623 -0.628232 0.5316
PENZIJA 0.996635 0.610636 1.632125 0.1064
DUM2 6.364214 6.194269 1.027436 0.3072

Effects Specification

Cross-section fixed (dummy variables)

Weighted Statistics

R-squared 0.537914    Mean dependent var 33.37297

Adjusted R-squared 0.443270    S.D. dependent var 51.18621
S.E. of regression 39.65960    Sum squared resid 130549.3
F-statistic 5.683538    Durbin-Watson stat 1.829543
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.336281    Mean dependent var 23.05941

Sum squared resid 189957.9    Durbin-Watson stat 2.230736