st: panel GMM ivreg2, gmm; is there need of time dummies??

[Vincenzo Lombardo <vl30@sussex.ac.uk>]

dear statalist,
i have a panel dataset with heteroskedasticity and serial correlation; my  
basic panel model includes time dummies to catch fixed time effects. then,  
i have to deal with endogeneity issues, so i employ gmm because it has  
been shown (Baumm et al.) that is more efficient than the standard IV  
application for panel (xtivreg). I am using ivreg2 because my model  
presents random effects more efficient than fixed effect.
My question, Should I have to put time dummies even in the gmm  
specification?that is, should I replace

xtreg y x t-dummies, re

with

ivreg2 y (x=z) t-dummies, gmm....

or should I cancel out time dummies??

thanks a lot!!!



--
Vincenzo Lombardo
University of Sussex, Dept. of Economics
University of Napoli Parthenope, DSE
12 Canfield Road
BN2 4DN Brighton - UK
tel. (UK):++44(0)7765991711
tel. (ITALY):++393284164302

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