I just have try out more variations and came to conclusion that actually you have to creat first difference variables using command d(X) and then used it as regressors (at difference estimator) or as instruments with lags (at system estimator).
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- Thu May 10, 2018 11:32 am
- Forum: Econometric Discussions
- Topic: Difference GMM or Sys GMM
- Replies: 3
- Views: 1545
Hi, I am also applying GMM diff and system dynamic panel estimation, however I am not sure if choosing the estimation method first differences in dynamic panel wizard, eviews automaticly differentiate all variables or should all variables first been differentiated with d(x,1) command manually? pleas...