Arellano–Bond Estimation - Predetermined Regressors and Strict Exogeneity Assumption Violation

[Ravi Patel]

Hi,

I am currently attempting a dynamic specification of my model which uses panel data by using the Arellano–Bond Estimation -xtdpdsys- although from my understanding I need to have a lagged dependent variable (which I have) as well as predetermined regressors and strict exogeneity assumption violation.

I was hoping to receive some guidance on how I could test for predetermined regressors and the strict exogeneity assumption violation so I can confirm the suitability of my model.

Any help would be appreciated.


This is an image of the dynamic model I am aiming to use.

[Sebastian Kripfganz]

The section on model selection in my 2019 London Stata Conference presentation might be helpful:

• Kripfganz, S. (2019). Generalized method of moments estimation of linear dynamic panel data models. Proceedings of the 2019 London Stata Conference.

[Ravi Patel]

Perfect, thanks!