and the results perfectly match the output from DPD.
What I would like to do next is to estimate the gmm system. Say for example
that I would like to include the first lag of the difference as an
instrument for the level equation.
In the HELP for xtabond2 it is mentioned that �[�] The optional laglimits(a
b) suboption can override these defaults: for the first-difference
equations, lagged levels dated t-a to t-b are used as instruments, while
for the levels equations, the first-difference dated t-a+1 is used�.
Unfortunately I have not been able to find a way to specify something like:
gmm(Y X1 X2 X3, lag(1,1) equation(level))
Thank you very much for your kind attention
