st: System GMM and fixed effects - xtabond2

["Zohal Hessami" <Zohal.Hessami@uni-konstanz.de>]

Dear Statalisters,

I have a question regarding System GMM and fixed effects in the context of 
xtabond2.

Apparently, time constant variables can be included in System GMM in the 
level equation. Does that mean that the level equation has no fixed effects 
included? And if so, does this imply that the level equation is not robust 
to unobserved heterogeneity?

Since my control variables are probably correlated with the fixed effects, 
should I use Difference GMM instead of System GMM even though it is less 
efficient? (The results between the two estimation methods differ 
significantly for my model.)

Thank you very much for your help!

Zohal Hessami
Department of Economics, University of Konstanz 

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