Thank you, Mark!
>
>The Sargan(-Hansen) stat at the bottom of the xtabond output is a test of
>your orthogonality conditions, i.e., that your exogenous independent
>variables and instruments are indeed exogenous.
>
Before using xtabond command how can I determine which variables should be
lagged as instruments? Should I run xthausman command for each regressor? Or
is it totally up to my intuition?
One more question, does xtabond command take first differences
automatically, or should I do it by myself?
Thanks in advance!
Katarina
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