since data is both time series and cross section, model uses GMM, so nature of error is also different.
Hi Ravish,
After estimating by GMM, the first test you do is a J statistic: Sargan test
Dear Ravish Shukla ,
Look the link, maybe useful.
https://www.stata.com/meeting/us20/slides/us20_Kripfganz.pdf
Regards,
Shafagat
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