Instrumenting Year Dummies in sGMM

[Elliott Blain]

If we are controlling for time-specific effects in a dynamic panel model, by including time-specific dummies, is it standard practice to include these year dummies as standard IV instruments as two-step system GMM?

[Sebastian Kripfganz]

That would be standard practice, yes. See also slides 74 to 81 of my 2019 London Stata Conference presentation.