Hi, first of all I apologize for cross-posting, but I was suggested in
R-help list to bring this question to more specialized r-sig-finance. So
here I am!

What I am looking for is some insight with this situation: what to do or
how to analyze when our models fitted with pgmm never pass Sargant test?

With my current dataset, I've been fitting different models and with all
possible combinations of lagged instruments, with all possible lag order
combinations, but no model passes Sargan test. I have around 1200 groups
and 12 time points in an unbalanced panel. I can not give up gmm here as I
have autocorrelation and only dynamic specification gets rid of this issue,
but I looking for a fixed-effects model. I also tried using system-GMM but
without success in passing Sargan.

I would like to ask you for any suggestion on what to do in this situation.
Any readings, plm function or so on will be very welcome.

Thanks in advance

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