Hi everyone,

I have a question about the GMM command, namely why it takes so long to complete. I have about 50,000 observations from a panel of institutions and years, and I have TSSET the data on these two variables. The model consists of two equations with correlated error terms, and each equation has endogenous variables and instruments that are specific to it. My specification uses factor variables and it has one lagged variable, about 30 or so covariates in all that are somewhat different in the two equations. I use two step GMM. As of now it has gotten through the Step 1 and Step 2 iterations, but no GMM estimates are reported. I'm not sure why this is taking several hours.

Thanks in advance for any suggestions.

James Adams