Hi everyone,
Essentially, I would like to run a first difference regression which includes the lag of the dependent variable and other covariates. For all variables, I have data on the two relevant periods (t and t-1), however, for the dependent variable, I also have data on periods (t-2 and t-3). I would hence like to run a dynamic panel estimation xtabond or xtdpdsys, but this does not seem to work. For xtdpdsys I get estimates, but it says the number of instrument=2 even though I have 6 regressors.
For xtabond, I need to set artest(1) as an option (is this even valid??) and it says number of instruments=0.
If someone could point me into the right direction, I would really appreciate it.
Thank you!