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st: Problematic Result with two-step System GMM.


From   Grant Peter Kabango <g.kabango.1@research.gla.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Problematic Result with two-step System GMM.
Date   Mon, 10 Dec 2007 11:26:37 +0000

I am using two-step System GMM for my estimation, with a panel which has 20 industries observed over 35 years (i.e.T=35 and N=20). However, the results show that I have too many instruments. I have been trying to collapse the data but I do not know how to go about it. Pleasehelp.

Further, my estimated coefficients carry opposite signs in levels and in the first lag, for each variable. Is this normal or there is something I could be doing wrongly.

Please Help

Grant Kabango 



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