GMM estimator

[michaelv]

Hi,

I'm working with dynamic panel data and read that the best way to regress this was by using a GMM estimator.
Although i'm not entirely sure how to insert it in the "equation" and "instrument list" box.

The model is the following:
leverage(i,t) = lambda * (beta * X(i,t-1)) + (1-lambda) leverage(i,t-1) + error term(i,t)

in which beta*X(i,t-1) represents a vector of firm characteristics.
I want to use the variable "equity(i,t-1)" as an instrument for the variable leverage(i,t-1).

For the moment we tried to insert them as follows but this didn't gave the results i hoped for, can somebody confirm that this is correct or tell me how to specify it differently?

equation specification:
leverage(i,t) X(i,t-1)) leverage(i,t-1)
instrument list:
equity(i,t-1)

thanks in advance

Michaelv,