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st: Problematic System GMM result.


From   "Grant Peter Kabango" <g.kabango.1@research.gla.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Problematic System GMM result.
Date   Tue, 11 Dec 2007 16:47:54 +0000

Dear Statalist,

My system GMM result (twostep) indicates "too many instruments" (Panel size is T=35 by N=20). I also get opposite signs for two coefficients of each variable (in level and lagged once). Would 5-year averaging help?). Worry is averaging loses information. Is SYS GMM  appropriate in my case? 

Please help.

Grant



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