HI to everyone!
I´m working on gmm model.
I have stata 14.
My data has 32 individuals and 13 years each of them.
The problem is that when I estimate the GMM with the following rutine:
xtabond2 pibe usa tasa tipo pet , gmm(l.pibe,collapse) iv(tasa tipo) ///
noleveleq nodiffsargan twostep orthogonal small
I do not get the F-stat value.
I use this method because theres endogeneity in the exchange rate (tasa )and the monetary policy (tipo) . I decided to use endogenous instruments, for that reason the model is a Differece GMM.
I also collapse the estimation because there are more instruments than groups, and I looked for robust estimation. The problem appears when I use a one step and two steps estimation, I know the two step is more efficient.
Why do not I have the F-stats output? Is it part of the estimation outcome?
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