Dear Mark and Surajit,
Thank you very much for your suggestions.
Mark you are right my variables C) are regressors, but I am not using
xtabond2 (just xtabond).
I will try to proceed as you suggest (putting the same instruments in
the 2 models....provided xtabond allows me to do that!).
Surajit, if I understand correctly -dmexogxt- compares an IV model and
an OLS model. But I suspect the OLS model is always inconsistent when I
have the lagged dependent variable in my equation.
Thanks again,
Mario
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