Try running this example with 1K observations (just cut and paste; install tictoc if needed) and see how you compare. Then we can look at the specific model with example data and your specific model. See the FAQ: How to do a minimal reproducible example reprex for beginners.
suppressPackageStartupMessages({
library(plm)
library(tictoc)
})
# from documentation for pgmm
data("EmplUK", package = "plm")
tic()
## Arellano and Bond (1991), table 4 col. b
z1 <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1)
+ log(capital) + lag(log(output), 0:1) | lag(log(emp), 2:99),
data = EmplUK, effect = "twoways", model = "twosteps")
summary(z1, robust = FALSE)
#> Twoways effects Two steps model
#>
#> Call:
#> pgmm(formula = log(emp) ~ lag(log(emp), 1:2) + lag(log(wage),
#> 0:1) + log(capital) + lag(log(output), 0:1) | lag(log(emp),
#> 2:99), data = EmplUK, effect = "twoways", model = "twosteps")
#>
#> Unbalanced Panel: n = 140, T = 7-9, N = 1031
#>
#> Number of Observations Used: 611
#>
#> Residuals:
#> Min. 1st Qu. Median Mean 3rd Qu. Max.
#> -0.6190677 -0.0255683 0.0000000 -0.0001339 0.0332013 0.6410272
#>
#> Coefficients:
#> Estimate Std. Error z-value Pr(>|z|)
#> lag(log(emp), 1:2)1 0.474151 0.085303 5.5584 2.722e-08 ***
#> lag(log(emp), 1:2)2 -0.052967 0.027284 -1.9413 0.0522200 .
#> lag(log(wage), 0:1)0 -0.513205 0.049345 -10.4003 < 2.2e-16 ***
#> lag(log(wage), 0:1)1 0.224640 0.080063 2.8058 0.0050192 **
#> log(capital) 0.292723 0.039463 7.4177 1.191e-13 ***
#> lag(log(output), 0:1)0 0.609775 0.108524 5.6188 1.923e-08 ***
#> lag(log(output), 0:1)1 -0.446373 0.124815 -3.5763 0.0003485 ***
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#>
#> Sargan test: chisq(25) = 30.11247 (p-value = 0.22011)
#> Autocorrelation test (1): normal = -2.427829 (p-value = 0.01519)
#> Autocorrelation test (2): normal = -0.3325401 (p-value = 0.73948)
#> Wald test for coefficients: chisq(7) = 371.9877 (p-value = < 2.22e-16)
#> Wald test for time dummies: chisq(6) = 26.9045 (p-value = 0.0001509)
toc()
#> 0.129 sec elapsed
sessionInfo()
#> R version 4.0.4 (2021-02-15)
#> Platform: x86_64-pc-linux-gnu (64-bit)
#> Running under: Pop!_OS 20.10
#>
#> Matrix products: default
#> BLAS: /usr/local/lib/R/lib/libRblas.so
#> LAPACK: /usr/local/lib/R/lib/libRlapack.so
#>
#> locale:
#> [1] LC_CTYPE=en_US.UTF-8 LC_NUMERIC=C
#> [3] LC_TIME=en_US.UTF-8 LC_COLLATE=en_US.UTF-8
#> [5] LC_MONETARY=en_US.UTF-8 LC_MESSAGES=en_US.UTF-8
#> [7] LC_PAPER=en_US.UTF-8 LC_NAME=C
#> [9] LC_ADDRESS=C LC_TELEPHONE=C
#> [11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C
#>
#> attached base packages:
#> [1] stats graphics grDevices utils datasets methods base
#>
#> other attached packages:
#> [1] tictoc_1.0 plm_2.4-1
#>
#> loaded via a namespace (and not attached):
#> [1] pillar_1.5.1 compiler_4.0.4 highr_0.8 miscTools_0.6-26
#> [5] tools_4.0.4 digest_0.6.27 nlme_3.1-152 evaluate_0.14
#> [9] lifecycle_1.0.0 tibble_3.1.0 debugme_1.1.0 lattice_0.20-41
#> [13] pkgconfig_2.0.3 rlang_0.4.10 reprex_1.0.0 maxLik_1.4-6
#> [17] yaml_2.2.1 xfun_0.22 styler_1.3.2 stringr_1.4.0
#> [21] knitr_1.31 fs_1.5.0 vctrs_0.3.6 lmtest_0.9-38
#> [25] grid_4.0.4 glue_1.4.2 bdsmatrix_1.3-4 fansi_0.4.2
#> [29] Rdpack_2.1.1 rmarkdown_2.7 Formula_1.2-4 purrr_0.3.4
#> [33] magrittr_2.0.1 backports_1.2.1 ellipsis_0.3.1 htmltools_0.5.1.1
#> [37] rbibutils_2.0 MASS_7.3-53.1 sandwich_3.0-0 utf8_1.2.1
#> [41] stringi_1.5.3 crayon_1.4.1 zoo_1.8-9