Please, are there any necessary preliminary tests for the Panel GMM estimator technique (e.g. unit root, normality etc)?
Mohammed Musah
To use GMM one has to ensure that the N>T, ie the cross section data is larger than the time series. Otherwise the instruments used in GMM may not be sufficient when you iterate the solution in GMM.
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How can we write the system GMM model (mathematical equation)?
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Help is requested.
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