GMM estimation
Posted: 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
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