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I have panel data estimated using GMM. Can I run the Breusch-Pagan LM test? If so how do I go about doing it. I found an example of it in a book, but I don't understand how to do it in practice. Do I have to estimate my data is OLS and not GMM?

I have panel data set and am using GMM estimation. The results for my tests have been for example: AB test AR(1) (p-value) = .3215 AB test AR(2) (p-value) = .616 I know this means I have autoregression but I'm not sure how to interpret in a paper other than saying the test concludes the data is auto...

It gives me "Near singular matrix" and as soon as I get rid of the dummy variable it runs.

I am running regression on bank profitability and different variables. My question is why won't GMM let me use my dummy variable? Is there a different way I can specify my dummy variable? (whether or not a bank is consider a community bank). Second, I have 82 banks with 4 years. Is this a large enou...