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  • GMM Instrument Variables

    Hi, I am using a strongly balanced panel dataset with 27 countries over the period 1995-2016. I plan to use GMM estimator as I have a lagged dependent variable. Can you please guide me as to how can I choose which of my variables can be used as instrument variables? Is there any test that needs to be done to differentiate if my variables are endogenous or exogenous? Thanks.

  • #2
    As a starting point, I recommend that you make yourself familiar with the following article:
    https://twitter.com/Kripfganz

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