Hello everyone,

I have a dataset which has around 4000 observations. To be more clear, I have mergers and acquisitions (M&As) data for firms. I have only one year before and after M&As data. So I can say that I have a two-year time period. I would like to conduct a test to check the endogeneity issue.

I could not run GMM in STATA because do not have data to get lag of the dependent variable. However, I am able to create lag of dependent variables manually from the raw dataset. I have heard that we can create mock/fake panel sets in STATA. Is this possible? if yes, how?

Besides, is there any other way to check endogeneity with my dataset in STATA?

Many thanks in advance for your help.

Best wishes,
Matt