EViews.com

Hi,

I have a question about GMM Dynamic Panel Wizzard. When specifying regressors (Step 2), do they have to be written in levels (or logs) and are first differenced automatically if you choose the differences option or do they have to be written in differences? what happens if they are already differenced?

Thank you!

In general you would enter them in levels. Then if the estimation requires differencing, it will perform the differencing automatically.

so, this first differecing (that is performed automatically) could be the way of eliminating unit root from individual series as well?

what about dummy variables, are they allowed?

Thanks,
M.

yes u have to put in level, latest version of eviews calculate automattically to eliminate unit root. but can u make it clear that is tw0-step GMM SYSTEM GMM? or some other fuction r ther for SYS GMM? for clarification i m doing Dynamic Panel Data analysis. I want run system GMM (Arrelono and Bond estimator). will tw0 step GMM serve the purpose?