Dear statalist,
If you could help on this I would appreciate very much.
Using xtabond2 I am running an investment type regression. I am
controling for time and industry effects with time dummies and
INDUSTRY dummies. I am including the time dummies in ivstyle options.
Should I also include the INDUSTRY dummies in the IVstyle options?
- If I include them the p-value of the sargan test is zero.
- However, if I do not include them the p-value of the Sargan test is
about 0.6-0.8.
This result is robust for different sets of instruments of the
remaining variables.
What is the right way?
thanks in advance,
Ana Lacerda
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