Hello Statalist,
1.I am using time series data. my main equation is
pbt = a0+a1pbt-1+a2pdt-1+ogt+e
but there is a problem of endogeneity so we use instrumental variables and the equation for that is
pdt-1= b0+b1pbt+b2EXt+b3ogt-1+vt here (EX and ogt-1 are instrumental variables)
here
pb is primary balance
pd is public debt
og is output gap (using HP filter)
EX is exchange rate.
how to use GMM for the above mention data particularly the IV's.
2. As my data is time series so do we need stationarity check before using GMM?.
Thanks for your valuable input.
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