Panel GMM

1. Steps to develop Panel GMM

Aymen Ammari commented> System GMM/////(xtabond2 DepVar l.DepVar X1 X2 X3, gmm(l.
DepVar, lag(1 .)) gmm(X1, lag(2 .)) gmm(X2, lag(1 .)) iv(X3) twostep robust) where X2 is endo var
, and X3 is exog we add the “twostep robust” options to the system GMM regression. The
“twostep” option specifies that the two-step estimator is calculated instead of the default one-
step. In two-step estimation, the standard covariance matrix is robust to panel-specific
autocorrelation and heteroskedasticity, but the standard errors are downward biased. Thus we
added the “robust” option to get the finite-sample corrected two-step covariance matrix.
Meo School of Research
Shishir Shakya
Noman Arshed
Panel GMM
Hossain Academy Note
Univariate Models
Multivariate Models
Panel Data Model