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Hi,
I would like to know how I can declare dynamic instrumental variables for a system of equations that I want to estimate using GMM. The tutorial indicates that for a single equation one can declare a dynamic instrument X by specifying @dyn(X) after the separator @. Can I do the same thing with systems? I tried :
system_name.gmm @ @dyn(x)
with different choices for x (gdp, spread,...) but I get the message "No instrument list specified"
Thank you for your advice

Might be best to use the dialog wizard to specify your dpd, and then use the command capture to view the command line form.

Thank you for your response. However please forgive me, I couldn't really understand what I should do. What is meant by using the dialog wizard to specify my dpd, what does dpd refer to?

Dynamic instruments are only available for dynamic panel data (dpd). Presumably that's what you're estimating?