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st: panel GMM ivreg2, gmm; is there need of time dummies??


From   Vincenzo Lombardo <vl30@sussex.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: panel GMM ivreg2, gmm; is there need of time dummies??
Date   Wed, 16 Aug 2006 13:17:41 +0100

dear statalist,
i have a panel dataset with heteroskedasticity and serial correlation; my basic panel model includes time dummies to catch fixed time effects. then, i have to deal with endogeneity issues, so i employ gmm because it has been shown (Baumm et al.) that is more efficient than the standard IV application for panel (xtivreg). I am using ivreg2 because my model presents random effects more efficient than fixed effect.
My question, Should I have to put time dummies even in the gmm specification?that is, should I replace

xtreg y x t-dummies, re

with

ivreg2 y (x=z) t-dummies, gmm....

or should I cancel out time dummies??

thanks a lot!!!



--
Vincenzo Lombardo
University of Sussex, Dept. of Economics
University of Napoli Parthenope, DSE
12 Canfield Road
BN2 4DN Brighton - UK
tel. (UK):++44(0)7765991711
tel. (ITALY):++393284164302

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