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st:overidentification - system gmm
From
"Gerek, Caner" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st:overidentification - system gmm
Date
Wed, 7 Aug 2013 01:37:31 +0100
dear statalist;
I am using the xtdpdsys stata command below for system gmm estimation,
xtdpdsys netintincomeASSETS inflation gdpgrowth Lerner EquityASSETS lnloans feesASSETS trade cashASSETS efficiency, lags(1) maxldep(1) twostep pre(Lerner) endog(feesASSETS) artests(2)
but I have a overidentification problem even my # of instruments is 83 and # of observation is 2657.
I tried to convert it to xtabond2 as
xtabond2 netintincomeASSETS L.netintincomeASSETS inflation gdpgrowth Lerner EquityASSETS lnloans feesASSETS trade cashASSETS efficiency, gmm(L.netintincomeASSETS Lerner L.feesASSETS, lag (0 0)eq(level)) gmm(L.netintincomeASSETS Lerner L.feesASSETS, lag(1 1) equation(diff)) iv( inflation gdpgrowth EquityASSETS lnloans trade cashASSETS efficiency) robust twostep nocons artests(2)
what is my mistake? I converted it to xtabond2 to reduce instruments by collapse option but I put it to each gmm() and system says invalid. what should I do to remove this overidentification problem
thanks in advance
Caner Gerek
University of Leicester
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