I can't provide an exaustive answer. However, for dynamic panels I suggest How to Do xtabond2: An Introduction to Difference and System GMM in Stata, By David Roodman (Working Paper Number 103
at cgdev.org).
Other dynamic panels commands include -xtlsdvc- (bias-corrected least-squares dummy variable estimators) and -xtpmg- (mean group and the pooled mean-group estimators). You may download both from SSC and find the appropriate references in the help file
Finally, please use complete references (someone, me too, may be unfamiliar with Ziliak).
Nicola
P.S. I'll NOT receive/read any email but the Digest.
At 02.33 30/04/2009 -0400, susie karnes wrote:
>Dear Statalisters,
>
>I am working with a panel data set where I believe one of my x
>variables to be endogenous and that there is a possible simultaneity
>issue. I have been reading about panel GMM methods and I am hoping
>that one of these techniques may be appropriate for my situation. My
>strategy is to difference the data to control for any constant
>unobserved characteristics and use lagged explanatory variables as
>instruments. The majority of the readings that I have come across
>address dynamic panels, which leaves me with a few questions:
>
>Are there situations where the weak exogeneity assumption is not
>valid? I believe that my regressor is contemporaneously correlated
>with the error term, and from what I understand, I can use lagged t-2
>explanatory variables as instruments (Ziliak 1997).
>Are there any tests that need to be performed before I try to estimate
>one of these models? For autocorrelation or the like?
>How does one choose between a static versus a dynamic panel?
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