Dynamic GMM with dummy variables

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dosborn1
Posts: 3
Joined: Thu Jul 02, 2015 4:28 am

Dynamic GMM with dummy variables

Postby dosborn1 » Thu Jul 02, 2015 4:33 am

Hello,

I'm attempting to run a Dynamic Panel Regression with cross sectional differences. I want to include a dummy variable, which would obviously be differenced. I was under the impression that I could include the variable in the instruments list as @lev(dummy), but each time I run the regression I'm given a near singular matrix error. Is there any way around this? I'm not particularly familiar with GMM but I'm trying to replicate a study in a paper which ran a GMM regression with a lagged dependent variable, so I assume it would be using differences.

Any help you're able to offer would be greatly appreciated.

Regards,
Daniel.
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dosborn1
Posts: 3
Joined: Thu Jul 02, 2015 4:28 am

Re: Dynamic GMM with dummy variables

Postby dosborn1 » Sat Jul 04, 2015 4:42 am

Anyone?
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