GMM Model (Panel Data)

[farah_oks84]

Dependent Variable: TD_TA
Method: Panel Generalized Method of Moments
Transformation: First Differences
Date: 02/27/13 Time: 10:57
Sample: 1 3180
Periods included: 9
Cross-sections included: 247
Total panel (unbalanced) observations: 1730
White period instrument weighting matrix
White period standard errors & covariance (d.f. corrected)
Instrument specification: @DYN(TD_TA,-2) X4 X5 X6 X7 X8 X9
Constant added to instrument list


Variable Coefficient Std. Error t-Statistic Prob.


TD_TA(-1) 0.392653 0.032758 11.98633 0.0000
X1 -6.393211 0.760958 -8.401530 0.0000
X2 1.042210 0.206421 5.048950 0.0000
X3 -0.468612 0.014474 -32.37528 0.0000
X4 -0.000435 0.000159 -2.731761 0.0064
X5 -0.015831 0.029947 -0.528649 0.5971
X6 1.11E-09 3.57E-11 31.18580 0.0000
X7 -0.000730 0.000597 -1.222622 0.2216
X8 9.05E-07 5.11E-07 1.771138 0.0767
X9 -0.001386 0.000485 -2.859137 0.0043


Effects Specification


Cross-section fixed (first differences)


Mean dependent var 0.003383 S.D. dependent var 1.042773
S.E. of regression 0.316978 Sum squared resid 172.8174
J-statistic 42.60392 Instrument rank 51

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I am using E-views 7.1

When I go to "Dynamic Panel Wizard", step 5, we ought to key in the instrumental variables in relation with endogeneity problem. The question is how to determine which instrumental variable that we need to add? Different instrumental variable will show different coefficient in the independent variables in the equation.


Hopefully you can assist me regarding my issue. Many thanks