st: gmm and a panel data set

["Marder, Andrew" <amarder@hbs.edu>]

Dear Statalist,

I am having some difficulty using the gmm command.  When I use the command as follows:

gmm (`moment_condition'), winitial(identity) instruments(L.(`instruments'))

The command is able to return some estimates.  I am unsure how valid these estimates are because when I run the command treating my data as a panel:

xtset firm_id year
gmm (`moment_condition'), winitial(xt L) xtinstruments(`instruments', lags(1))

I get the following error:

warning: 20398 missing values returned for equation 1 at initial values
             gmm_xtZ_i():  3301  subscript invalid
           gmm_ABond_W():     -  function returned error
              _gmm_wrk():     -  function returned error
                 <istmt>:     -  function returned error
r(3301);