I use the two-step system GMM estimator (panel data) and I get the following results:
GMM-type (missing=0, separate instruments for each period unless collapsed) D.(Tobinsq pourc_femmes2) Arellano-Bond test for AR(1) in first differences: z = -2.53 Pr > z = 0.011 Arellano-Bond test for AR(2) in first differences: z = -2.05 Pr > z = 0.041 Sargan test of overid. restrictions: chi2(34) = 326.03 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(34) = 44.12 Prob > chi2 = 0.115 (Robust, but weakened by many instruments.)
I think that I have a weak instrument (yt-1). How can I deal with this problem? Do I have to add other instruments?