Xtabond2 lag limit

[Hamza Almustafa]

Dear Stata users,

Suppose that I am trying to Xtabond2 the governance-performance relationship using a data from two countries. The dependent variable here is lnQ (performance), while the explanatory variables are :

Board structure (LNBSIZE DUALITY BOIND), Ownership (FAM_OWN INST1 OWNTOTAL) , other control variables (LNMARKT MTBVE LNFAGE FL).

I would like to have GMM instrument subset for the equation in levels to include one-year lagged differences of firm performance variable; two-year lagged differences of board structure, ownership, and other control variables.

GMM instrument subset for board structure variables to include two-year lagged differences and lags 3 in levels of board structure variables.

GMM instrument subset for ownership structure and the other control variables to include two-year lagged differences and lags 3 in levels of these variables.

What would be the lag distance in this case?

I have tried the below command, but not sure about its validity!

xi: xtabond2 lnQ l.lnQ LNBSIZE DUALITY BOIND FAM_OWN INST1 OWNTOTAL LNMARKT MTBVE FL LNFAGE i.YEAR, gmm (lnQ LNBSIZE BOIND DUALITY FAM_OWN INST1 OWNTOTAL LNMARKT MTBVE FL, lag (2 3) collapse)iv (i.YEAR LNFAGE) twostep robust small

Thanks