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st: panel GMM ivreg2, gmm; is there need of time dummies??
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
ivreg2 y (x=z) t-dummies, gmm....
or should I cancel out time dummies??
thanks a lot!!!
University of Sussex, Dept. of Economics
University of Napoli Parthenope, DSE
12 Canfield Road
BN2 4DN Brighton - UK
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