The code I am running GMM for is the following:
xtabond2 Y L.Y A B C D A2 A*B C2, gmm(L.Y A A2, collapse lag (2 2)) iv(C B C2) small nocons,
On the other hand I may choose to add A*B as endogenous and run the following code
xtabond2 Y L.Y A B C D A2 A*B C2, gmm(L.Y A A*B A2, collapse lag (2 2)) iv(C B C2) small nocons,
Because B is exogenous I am not sure which model to pick?
Thanks for your time
xtabond2 Y L.Y A B C D A2 A*B C2, gmm(L.Y A A2, collapse lag (2 2)) iv(C B C2) small nocons,
On the other hand I may choose to add A*B as endogenous and run the following code
xtabond2 Y L.Y A B C D A2 A*B C2, gmm(L.Y A A*B A2, collapse lag (2 2)) iv(C B C2) small nocons,
Because B is exogenous I am not sure which model to pick?
Thanks for your time
