The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)
Table 7 Break sample in 2000s
Dependent variable: nominal domestic investment share of GDP \((I_{it} )\) | ||||
|---|---|---|---|---|
Sample period: | (1) 2000–2008 | (2) 2000–2008 | (3) 2009–2014 | (4) 2000–2014 |
Specification | One-step difference GMM | Two-step difference GMM | One-step system GMM | Two-step difference GMM |
(maximum lag = 1) | ( maximum lag = 1) | (maximum lag = 2) | (maximum lag = 1) | |
Regressors | ||||
\({\widetilde{I}}_{it-1}\) | 1.05583 (0.1164)*** | 1.16306 (0.1413)*** | 0.96651 (0.0838)*** | 0.87132 (0.1506)*** |
\({\widetilde{I}}_{it-2}\) | − 0.55433 (0.1719)*** | − 0.69848 (0.2223)*** | − 0.04373 (0.1001) | − 0.34514 (0.1265)*** |
\({\widetilde{S}}_{it}\) | 0.20021(0.1652) | 0.26918 (0.1538)* | 0.51255 (0.1306)*** | 0.51774 (0.1617)*** |
\({\widetilde{S}}_{it-1}\) | − 0.14750 (0.1317) | − 0.16673 (0.1696) | − 0.48142 (0.1374)*** | − 0.28662 (0.1781) |
Const. | 0.00592 (0.0135) | |||
# of groups (countries) | 28 | 28 | 28 | 28 |
# of instruments | 12 | 12 | 22 | 18 |
A–B test for AR(1) | 0.006 | 0.011 | 0.000 | 0.014 |
A–B test for AR(2) | 0.311 | 0.320 | 0.099 | 0.189 |
Hansen J test | 0.103 | 0.103 | 0.170 | 0.102 |
Diff-in-Hansen test | 0.202 | 0.202 | 0.821 | 0.081 |
Wald test: \(\beta_{2} = - \beta_{3}\) | 0.7141 | 0.5116 | 0.1872 | 0.1426 |