How to execute two step system gmm in stata

[rajinder...@gmail.com]

Greetings group members,

kindly guide me to execute two step system GMM in stata.

Regards,

Dr. Rajinder kaur

[Ravindra Nath Shukla]

Please go through following paper :-

Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. The stata journal, 9(1), 86-136.

If you are interested in implementing system GMM, this paper is must to understand. 

Additionally you can watch video of cruncheconometrics on youtube. 

System GMM uses endoginity and hetrodasticity of panel data by using instrument variables. The application of endogenous and instruments are subject to repetitive iteration before you achive desire results ( AR1, AR2, and Hansen test). 

The above literature help you to understand the basic concepts of system GMM and it's application with STATA. 

Thank you!

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[Dr. Rajinder Kaur]

Thank you sir. 

To view this discussion on the web visit https://groups.google.com/d/msgid/dataanalysistraining/CAKpQ6wveB_LKdmQGz5htYX9h%2B9Xryq35m%3DwLz2azx_9f5qRfZw%40mail.gmail.com.