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?
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