For the investment equation based on Tobin's q described in Problem 4.20, perform the dynamic regressions given in Table IV of Schaller (1990), only do that using the Arellano and Bond (1991) estimation procedure. Report the diagnostics on serial correlation and Sargan over-identification test.

Data From Problem 4.20:

Investment and Tobin's \(q\). Schaller (1990) uses data based on financial statements of 188 large publicly traded US firms, over the period 1951-1985, to estimate an investment equation based on Tobin's q. The dependent variable is the ratio of investment to the capital stock \((\mathrm{I} / \mathrm{K})\). \(\mathrm{q}\) is the ratio of the market value of the firm to the replacement cost of its assets. The data are available from the Journal of Applied Econometrics data archives.