The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)
Table 2 Exact replication of the FHP
Dependent variable: nominal domestic investment share of GDP \((\widetilde{I}_{it} )\) | ||||
|---|---|---|---|---|
Sample country: 21 | ||||
Sample period: 1960–1974 | (1) | (2) | (3) | (4) |
Specification | One-step difference GMM (collapsed instrument) | Two-step difference GMM (collapsed instrument) | One-step system GMM (collapsed instrument) | Two-step system GMM (collapsed instrument) |
Regressor | ||||
\({\widetilde{{\varvec{I}}}}_{{\varvec{i}}{\varvec{t}}-1}\) | 0.13173 (0.2308) | 0.09829 (0.3458) | 1.08074 (0.0844)*** | 1.03354(0.1046)*** |
\({\widetilde{I}}_{it-2}\) | − 0.23333 (0.0760)*** | − 0.19996 (0.0986)* | − 0.16851 (0.0708)** | − 0.13914 (0.08657) |
\({\widetilde{S}}_{it}\) | 0.60163 (0.2135)*** | 0.66375 (0.2213)*** | 0.70922 (0.1652)*** | 0.81270 (0.19224)*** |
\({\widetilde{S}}_{it-1}\) | 0.09710 (0.2276) | 0.08091 (0.2763) | − 0.71508 (0.1519)*** | − 0.79315 (0.16531)*** |
Const | 0.02728 (0.00889)*** | 0.02503 (0.01221) | ||
# of groups (countries) | 21 | 21 | 21 | 21 |
# of instruments | 12 | 12 | 13 | 13 |
A–B test for AR(1) | 0.894 | 0.938 | 0.002 | 0.023 |
A–B test for AR(2) | 0.007 | 0.069 | 0.011 | 0.016 |
Hansen J test | 0.161 | 0.161 | 0.244 | 0.244 |
Diff-in-Hansen test | 0.229 | 0.229 | 0.524 | 0.524 |
Wald test:\(\beta_{2} = - \beta_{3}\) | 0.0166 | 0.0115 | 0.9121 | 0.7866 |