Hi,

I working with individual-level panel data of two rounds- 2005 and 2012.

My basic regression is: reg logchildwage logheadwage i.STATEID GENDER AGE head_age POOR RELIGION CASTE Household_Size URBAN if group==1

I want to incorporate STATEID and Household_Size as fixed effects. Plus I want to have two interaction terms: Religion with logheadwage and Caste with logheadwage.

However, I have no idea how to code to run xtabond2 GMM. I have attached a small sample of observations.


Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(logchildwage logheadwage headage) int(AGE GENDER CASTE RELIGION POOR NPERSONS STATEID URBAN)
2.4713535 3.5211756 58 40 0 3 0 0  8 1 0
 2.982179  2.982179 48 21 0 1 0 0  4 1 0
 3.293396 4.0422535 54 29 0 2 0 0  4 1 1
 4.461453  4.158274 53 27 0 3 0 0  5 1 0
2.2131138  2.618579 58 22 0 1 1 1 10 1 1
1.4671216 1.4671216 55 28 1 1 0 1  6 2 0
 2.562633  4.122881 55 28 0 3 0 0  6 3 1
2.0390873 2.0390873 48 20 0 1 0 0  6 3 0
2.0969121 1.8431317 40 18 0 2 0 1  9 2 0
2.6951096   2.84926 54 29 0 2 0 0  7 4 0
 2.512788  2.512788 45 24 0 1 0 1  9 4 0
1.7747307 1.7747307 50 20 0 3 0 0  5 5 0
2.1467478 2.2802794 70 21 1 1 0 0  3 5 0
2.3025851  2.458589 50 17 1 1 1 0  6 2 0
 3.218876  3.218876 40 19 0 1 0 0  5 1 0
 3.624341  3.624341 55 26 0 1 0 0  5 1 0
 1.609438 2.6790626 34 18 0 1 0 0  5 2 1
 2.931194  2.484907 34 17 0 1 0 0  3 2 1
2.3025851 4.0943446 45 18 0 1 0 1  4 3 0
2.1202636  2.813411 49 27 0 1 0 1  5 3 1
2.0011096 2.3513753 46 20 0 1 1 0  3 3 1
2.1690538 2.0949457 49 20 0 3 0 0  5 2 0
2.1690538 2.1690538 65 30 0 2 0 0  5 2 0
 2.525729  2.525729 65 28 0 1 0 0  4 2 0
1.8325815  2.525729 53 28 0 3 0 1 10 2 0
 2.525729  2.525729 45 18 1 2 0 0  5 2 0
 2.931194 3.6888795 52 18 0 1 1 0  8 4 0
 2.813411  3.218876 38 19 1 3 0 0  6 5 0
 3.218876  3.218876 49 19 0 1 0 1  5 5 0
 2.931194   2.70805 55 32 0 2 0 0  4 5 0
end
label values GENDER Gender
label def Gender 0 "Male 0", modify
label def Gender 1 "Female 1", modify
label values CASTE CASTE
label def CASTE 1 "General", modify
label def CASTE 2 "SC/ST", modify
label def CASTE 3 "OBC", modify
label values RELIGION Religion
label def Religion 0 "Hindu", modify
label def Religion 1 "Muslim", modify
label values NPERSONS NPERSONS
label values STATEID ZonalCouncils
label def ZonalCouncils 1 "Northern Zonal Council- 01", modify
label def ZonalCouncils 2 "Central Zonal Council- 02", modify
label def ZonalCouncils 3 "Eastern Zonal Council- 03", modify
label def ZonalCouncils 4 "Western Zonal Council- 04", modify
label def ZonalCouncils 5 "Southern Zonal Council- 05", modify
label values URBAN URBAN
label def URBAN 0 "rural 0", modify
label def URBAN 1 "urban 1", modify