sys_gmm=pgmm(y~lag(y)+lag(Size)+lag(Profitability)+lag(Growth)+lag(NDTS)+lag(Liquidity)+lag(Age)+lag(Age2)+lag(GDP)+lag(Inflation)|lag(y,2:99)|lag(Size,2:99)|lag(Profitability,2:99)|lag(Growth,2:99)|lag(NDTS,2:99)|lag(Liquidity,2:99)|lag(Tangibility,2:99)|lag(Age,2:99)|lag(Age2,2:99)|lag(GDP,2:99)|lag(Inflation,2:99),odata,index = c("CompanyName","Year"),model="twosteps",effect="twoways",collapse=TRUE,transformation = "ld", Collapse=TRUE)
summary(sys_gmm)
I am using these codes with Collapse option then too get significant value of Sargan Test. What should be done?
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