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Dears, I've just computed the p-values of Sargan test for over-identifying restrictions in GMM Dynamic Panel Data Model. I got the p-values by expressing the following scalar pval=@chisq(x,y) where x is J-statistics and y is n. of instruments-n.of coefficients However I have some doubts how to inter...

hi, I figured out a possible solution for my options, to be honest I didn't follow any particular econometric reasoning but just went through almost all possible logical options. After some templates it turned out that an option specification such as: (CX=FD,PER=F,GMM=PERWIGHT,COV=STACKEDWHITE) has ...

Ok thanks for you reply. However, now there is another issue, namely which kind of options I should specify in the estimation? I have a panel from 1992 until 2010 (forecast included) of 20 countries. The estimate is obviously a first difference estimate and the point is which kind of cross section, ...

Ok, thank you for your swift reaction! you mean panel gmm dynamic estimate? and how this should be written? more importantly is this panel dynamic GMM estimate comparable with my previous estimates that are pooled panel data but not dynamic? If not, I would opt for instrumental variable estimator. s...

Hi evryone, I'm trying to prgram an Arellano-Bond Dynamic GMM in a pooled panel data set what i wrote is sample 1992 2008 pool eq1 pool eq 1 "the list of cross sections" eq1.gmm (cx=fd, gmm=perwhite, cov=stackedwhite, iter=seq) d(y?) d(x1?) d(x2?) d(x3?) d(y?(-1)) @ @dyn(y?) @dyn(x1?) @dyn...