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Dear all, hope you are fine.

I have again this model:

lyp c lkp lop lfinancing where lyp= log real GDP per capita, lkp=log capital stock, lop=log openness to trade, lfinancing= log of domestic credit provided by banks.

I'm quite new in using the GMM estimator as i want to determine the direction of causality between lyp and lfinancing.

Could you be of kind to help in the following:
1. determine the model to be estimated under GMM method
2. the instruments to be used
3. other settings with respect to GMM weights etc

Grateful for your help in advance.

Dear all, hope you are fine.

I have again this model:

lyp c lkp lop lfinancing where lyp= log real GDP per capita, lkp=log capital stock, lop=log openness to trade, lfinancing= log of domestic credit provided by banks.

I'm quite new in using the GMM estimator as i want to determine the direction of causality between lyp and lfinancing.

Could you be of kind to help in the following:
1. determine the model to be estimated under GMM method
2. the instruments to be used
3. other settings with respect to GMM weights etc

Grateful for your help in advance.

Dear All,

I have managed to apply the GMM estimation method but I have a question:

How would i determine the right lag number for model and instruments? and what is the interpretation of each lag selection?

Regards,
Hano