Hi,
In a dynamic model (I am using xtabond2) is it necessary to add the year dummies, because when I add the year dummies the number of instruments becomes much larger than the number of groups, the coefficients of the regressors become insignificant and the difference in Hansen test for dummy years become 1. I am using the windmeijer’s corrected s.e.
Humaira Asad
PhD Research Scholar
UoE Business School
University of Exeter, England
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