Hi,

I want to include the industry fixed effects in a dynamic panel model based on the 2 digit sic code (S&P industry classification). I used xtabond2 and the model was running just fine: the model was
Code:
xtabond2 dsow    L.dsow     epu cfw leveragew f.growth2w faw sizew roaw dgs3mo gdpqg infq i.q_date, gmm(L.dsow,eq(both) collapse lag(1 1))  gmm(epu,eq(both collapse lag(1 1))  gmm(cfw,eq(both) collapse lag(2 2)) gmm(leveragew,eq(both) collapse lag(1 1)) gmm(leveragew,eq(lboth) collapse lag(1 1)) gmm(growth2w,eq(both) collapse lag(2 2)) gmm(faw,eq(both) collapse lag(1 1)) gmm(sizew,eq(both) collapse lag(2 2)) gmm(roaw,eq(both) collapse lag(1 1)) iv(i.L.q_date,eq(diff)) iv(i.L.q_date,eq(level))iv(L.dgs3mo) iv(L.gdpqg) iv(L.infq) twostep robust
When i trued to put the industry fixed effect using i.sic I started to receive an error that regressors outnumber instruments.So what should I put as instrumens for i.sic to solve the issue . In other words by adding i.sic to the regression as follows:
Code:
xtabond2 dsow    L.dsow     epu cfw leveragew f.growth2w faw sizew roaw dgs3mo gdpqg infq i.q_date
then what should I put as instruments for i.sic????