Hello, I conducted 2-Stage System GMM in the STATA program. However, I couldn't find a code to adjust the number of instrumental variables. If there exists such a code, could you share it, please? Where should I add this code in my main code line?
Thanks in advance..
My main code line
xtabond2 X1 L.X1 X2 lnX3 lnX9 lnX15 lnX16, gmm(L.X1, collapse) twostep robust nomata iv(L.X2 L.X3 L.lnX9 L.lnX15 L.lnX16)
Hi Dear
You can use below model to increase or decrease the instrument variables
xtabond2 DV L.DV IV1 IV2....,gmmstyle(DV, laglimits (2 .) eq(diff)) ivstyle(IV1 IV2..., eq(diff)) twostep
or
xtabond2 DV L.DV IV1 IV2....,gmmstyle(DV, laglimits (2 .) eq(both)) ivstyle(IV1 IV2... , eq(both)) twostep
You can change the lag limits according to your requirements. For example, laglimits (2 1) or (2 2)
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