The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)
Table 5 Sample by 10 years with two-step system GMM
Dependent variable: nominal domestic investment share of GDP \((I_{it} )\) | ||||
|---|---|---|---|---|
Sample period: | (1) 1960–1969 | (2) 1970–1979 | (3) 1980–1989 | (4) 1990–1999 |
Specification | Two-step system GMM | Two-step system GMM | Two-step system GMM | Two-step system GMM |
(maximum lag = 2) | (collapsed instruments) | (maximum lag = 1) | (maximum lag = 1) | |
Regressors | ||||
\({\widetilde{I}}_{it-1}\) | 0.98967 (0.0979)*** | 0.68673 (0.1424)*** | 0.97518 (0.0604)*** | 1.04328 (0.0695)*** |
\({\widetilde{I}}_{it-2}\) | − 0.14559 (0.0802)* | − 0.15147 (0.0887)* | − 0.02993 (0.0819) | − 0.13789 (0.0732)* |
\({\widetilde{S}}_{it}\) | 0.50419 (0.1686)*** | 0.53558 (0.1583)*** | 0.42619 (0.1216)*** | 0.33307 (0.1143)*** |
\({\widetilde{S}}_{it-1}\) | − 0.44019 (0.1899)*** | − 0.34202 (0.1310)** | − 0.34943 (0.1207)*** | − 0.30925 (0.1217)** |
Const. | 0.02441 (0.0175) | 0.07520 (0.0270)*** | − 0.00569 (0.0145) | 0.01546 (0.0100) |
# of groups (countries) | 28 | 28 | 28 | 28 |
# of instruments | 26 | 23 | 24 | 24 |
A–B test for AR(1) | 0.008 | 0.001 | 0.006 | 0.013 |
A–B test for AR(2) | 0.425 | 0.316 | 0.375 | 0.772 |
Hansen J test | 0.312 | 0.233 | 0.148 | 0.118 |
Diff-in-Hansen test | 0.421 | 0.203 | 0.507 | 0.266 |
Wald test:\({\beta }_{2}=-{\beta }_{3}\) | 0.0903 | 0.2368 | 0.0206 | 0.2995 |