Hi, there.
I�m trying to estimate a dynamic panel model with
xtabond2. My question is that whatever variable or the
length of lags I specify in gmm( ) option, the p value
of the Hansen statistic is persistently equal to 1.
This seems too good to be true. I even tried gmm(a
year dummy, lag(0 0)) and it still doesn�t make any
change in the p-value. Does this mean all the
explanatory variables in the equation are already
orthogonal to the errors so that they don�t need to be
instrumented?
thanking in advance,
Daniel
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