GMM estimation

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Lahchey
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Joined: Fri Jul 01, 2016 5:54 am

GMM estimation

Postby Lahchey » Fri Jul 01, 2016 6:08 am

Heii!!!

I would be glad if anyone could help me with this GMM estimation.
I want to estimate the below model.

Y =α +β1 X + β2 Y(-1) + β3 Z + β4 X*Z

where X is a dummy variable.

Since one lag of the dependent variable is a regressor, should it be the instrument?
(I have attached the equation window)

What should I write in the instrument column?

Thank you.
Lahchey
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