I am using the System GMM approach for estimation and I want to know whether the code is right or not.
This is the basic equation
ITEMs CEODUAL BDSIZE INDBD SUPSIZE INDSUP SIZE AREC_INVT LOSS AUDFEE GENDER ROA BIG4 AUDOPIN CURR LEV TENURE SWITCH ChangeCPA i.Year i.IND , robust cluster(Stkcd)
I lag the dependent variable and according to the prior studies, they assume that the corporate governance variables are endogenous. So, I write this code and lag them.
xtabond2 ITEMs L.ITEMs CEODUAL BDSIZE INDBD SUPSIZE INDSUP SIZE AREC_INVT LOSS AUDFEE GENDER ROA BIG4 AUDOPIN CURR LEV TENURE SWITCH ChangeCPA i.Year i.IND, gmm(1.ITEMs CEODUAL BDSIZE INDBD SUPSIZE INDSUP) iv(L.CEODUAL L.BDSIZE L.INDBD L.SUPSIZE L.INDSUP SIZE AREC_INVT LOSS AUDFEE GENDER ROA BIG4 AUDOPIN CURR LEV TENURE SWITCH ChangeCPA i.Year i.IND) small twostep robust orthogonal
1- Is the code is right?
2- Should we include all variables that we assume as endogenous in gmm() and all other variables in IV() ?
3- Is the lag above is right or not?
0 Response to Conducting system GMM using xtabond2
Post a Comment