Hi All,

I have a few qualms with the output of 'Two-Step dynamic panel system GMM'. Normally I need three information criteria upon regression: Test for AR(2) errors; Sargan over-identification(OIR) test and Wald (joint) test. However quite often, just two pairs of the information criteria appear in the output: i.e, either the first, second or third of the information criteria is absent. I have been nursing following:

1)when the first(Test for AR(2) errors) is absent in the output, I take it the coefficient of autocorrelation is not significant(which at times is not the case; pushing me to remodel the equation);

2) if the third(Wald test for joint significance of estimated coefficients) is missing, I assume the estimated coefficients are significant from a visual interpretation;

3) the absence of the second(Sargan OIR test) in certain regression outputs leaves me weary about the validity of the instruments.

Could a guru here elucidate these qualms for me?

Cheers