Hi everyone,
I am using xtabond2 to estimate a dynamic panel model. My problem is I would like to keep time-constant variables in the model, but I don't know where to put them.
If I have well understood, the syntax is:
xtabond2 y L.y x1 x2 x3 t1-ts, gmm(L. (x1 x2 x3)) robust orthogonal
Indeed, I don't think that x1 x2 x3 are exogenous, so I consider them as endogenous and include them in gmmstyle ().
I guess I should use also the robust option to correct heteroscedasticity, and the orthogonal option as there are gaps in my panel.
Then, where do I put these constant variables ? in the first part of the equation ? and only there ?
Thank you very much.
I am using xtabond2 to estimate a dynamic panel model. My problem is I would like to keep time-constant variables in the model, but I don't know where to put them.
If I have well understood, the syntax is:
xtabond2 y L.y x1 x2 x3 t1-ts, gmm(L. (x1 x2 x3)) robust orthogonal
Indeed, I don't think that x1 x2 x3 are exogenous, so I consider them as endogenous and include them in gmmstyle ().
I guess I should use also the robust option to correct heteroscedasticity, and the orthogonal option as there are gaps in my panel.
Then, where do I put these constant variables ? in the first part of the equation ? and only there ?
Thank you very much.