Dear all,

Estimating a gmm-system model with xtabond2, N=36 T=6, I got results that showed smaller standard errors of estimates using 1-step robust than using 2-step robust.

I have two questions:

I) Why even diminishing the number of instruments, using the command xtabond2, the warning about the singularity of 2-step weighting matrix is singular?

II) In a case of a small sample, is it better to utilise the 1-step procedure or the Windmeijer's correction is sufficient for face the standard-error bias?