It depends how you use it. As long as you make sure that the number of instruments does not become too large, it should not be a problem.
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xtseqreg investments l.investments fundraising loans realrate EV_EBITDA GDPGrowth, gmmiv(l.investments fundraising, difference lag(1 4) model(level)) iv(realrate, difference model(diff)) teffects vce(robust)
Group variable: Country Number of obs = 322 Time variable: Year Number of groups = 23 Obs per group: min = 14 avg = 14 max = 14 Number of instruments = 103 (Std. Err. adjusted for 23 clusters in Country) ------------------------------------------------------------------------------ | Robust investments | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- investments | L1. | .490159 .1416168 3.46 0.001 .2125952 .7677229 | fundraising | .3290689 .0940575 3.50 0.000 .1447197 .5134182 loans | .0734566 .0649467 1.13 0.258 -.0538366 .2007498 realrate | -.2176656 .09787 -2.22 0.026 -.4094874 -.0258439 EV_EBITDA | .3007255 .1406747 2.14 0.033 .0250082 .5764428 GDPGrowth | .3428593 .2096171 1.64 0.102 -.0679827 .7537013 | Year | 2009 | 1.088307 .8770698 1.24 0.215 -.630718 2.807332 2010 | .1624718 .8496158 0.19 0.848 -1.502745 1.827688 2011 | 1.01128 .908088 1.11 0.265 -.76854 2.791099 2012 | .1774802 .5373513 0.33 0.741 -.875709 1.230669 2013 | -.1022629 .7235758 -0.14 0.888 -1.520445 1.31592 2014 | -.1601438 .734644 -0.22 0.827 -1.60002 1.279732 2015 | -.4042953 .871267 -0.46 0.643 -2.111947 1.303357 2016 | -2.037866 .9979397 -2.04 0.041 -3.993791 -.0819398 2017 | -1.562841 1.63792 -0.95 0.340 -4.773105 1.647423 2018 | -3.113656 .8736665 -3.56 0.000 -4.826011 -1.401301 2019 | -1.528436 1.269343 -1.20 0.229 -4.016302 .9594295 2020 | -2.863026 1.310453 -2.18 0.029 -5.431466 -.2945848 2021 | -2.433613 1.797741 -1.35 0.176 -5.95712 1.089894 | _cons | 0 (omitted) ------------------------------------------------------------------------------
xtseqreg investments (l.investments fundraising loans realrate EV_EBITDA GDPGrowth) qe_D, iv(qe_D, model(level)) vce(robust)
Group variable: Country Number of obs = 322 Time variable: Year Number of groups = 23 ------------------------------------------------------------------------------ Equation _first Equation _second Number of obs = 322 Number of obs = 322 Number of groups = 23 Number of groups = 23 Obs per group: min = 14 Obs per group: min = 14 avg = 14 avg = 14 max = 14 max = 14 Number of instruments = 103 Number of instruments = 2 (Std. Err. adjusted for clustering on Country) ------------------------------------------------------------------------------ | Robust investments | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- _first | investments | L1. | .490159 .1416168 3.46 0.001 .2125952 .7677229 | fundraising | .3290689 .0940575 3.50 0.000 .1447197 .5134182 loans | .0734566 .0649467 1.13 0.258 -.0538366 .2007498 realrate | -.2176656 .09787 -2.22 0.026 -.4094874 -.0258439 EV_EBITDA | .3007255 .1406747 2.14 0.033 .0250082 .5764428 GDPGrowth | .3428593 .2096171 1.64 0.102 -.0679827 .7537013 _cons | 0 (omitted) -------------+---------------------------------------------------------------- _second | qe_D | -1.777723 .862589 -2.06 0.039 -3.468366 -.0870796 _cons | -.1945286 .5189867 -0.37 0.708 -1.211724 .8226667
xtseqreg investments l.investments fundraising loans realrate EV_EBITDA GDPGrowth, gmmiv(l.investments fundraising, model(level) lagrange(1 4) collapse) iv(realrate, difference model(diff)) teffects vce(robust)
Group variable: Country Number of obs = 322 Time variable: Year Number of groups = 23 Obs per group: min = 14 avg = 14 max = 14 Number of instruments = 23 (Std. Err. adjusted for 23 clusters in Country) ------------------------------------------------------------------------------ | Robust investments | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- investments | L1. | .4429917 .249676 1.77 0.076 -.0463643 .9323478 | fundraising | .2205416 .1397837 1.58 0.115 -.0534294 .4945127 loans | .2482312 .2097539 1.18 0.237 -.162879 .6593414 realrate | -.5433681 .3479326 -1.56 0.118 -1.225303 .1385673 EV_EBITDA | .5111535 .2761733 1.85 0.064 -.0301363 1.052443 GDPGrowth | 1.544522 1.776925 0.87 0.385 -1.938187 5.027232 | Year | 2009 | 2.61303 1.932554 1.35 0.176 -1.174707 6.400766 2010 | -1.396378 2.079974 -0.67 0.502 -5.473051 2.680295 2011 | -.6476817 2.146449 -0.30 0.763 -4.854645 3.559282 2012 | -.413738 1.139913 -0.36 0.717 -2.647927 1.820451 2013 | -1.412886 2.266768 -0.62 0.533 -5.855669 3.029897 2014 | -1.71271 2.292105 -0.75 0.455 -6.205153 2.779734 2015 | -3.245102 3.497507 -0.93 0.353 -10.10009 3.609886 2016 | -6.038229 4.439052 -1.36 0.174 -14.73861 2.662154 2017 | -6.911909 5.704652 -1.21 0.226 -18.09282 4.269002 2018 | -7.788161 5.47485 -1.42 0.155 -18.51867 2.942347 2019 | -6.247621 4.997203 -1.25 0.211 -16.04196 3.546718 2020 | -5.574032 4.096693 -1.36 0.174 -13.6034 2.455339 2021 | -9.078443 7.165498 -1.27 0.205 -23.12256 4.965675 | _cons | 0 (omitted) ------------------------------------------------------------------------------
xtseqreg investments (l.investments fundraising loans realrate EV_EBITDA GDPGrowth) qe_D, iv(qe_D, model(level)) vce(robust)
Group variable: Country Number of obs = 322 Time variable: Year Number of groups = 23 ------------------------------------------------------------------------------ Equation _first Equation _second Number of obs = 322 Number of obs = 322 Number of groups = 23 Number of groups = 23 Obs per group: min = 14 Obs per group: min = 14 avg = 14 avg = 14 max = 14 max = 14 Number of instruments = 23 Number of instruments = 2 (Std. Err. adjusted for clustering on Country) ------------------------------------------------------------------------------ | Robust investments | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- _first | investments | L1. | .4429917 .249676 1.77 0.076 -.0463643 .9323478 | fundraising | .2205416 .1397837 1.58 0.115 -.0534294 .4945127 loans | .2482312 .2097539 1.18 0.237 -.162879 .6593414 realrate | -.5433681 .3479326 -1.56 0.118 -1.225303 .1385673 EV_EBITDA | .5111535 .2761733 1.85 0.064 -.0301363 1.052443 GDPGrowth | 1.544522 1.776925 0.87 0.385 -1.938187 5.027232 _cons | 0 (omitted) -------------+---------------------------------------------------------------- _second | qe_D | -4.515909 3.353083 -1.35 0.178 -11.08783 2.056013 _cons | -1.777259 1.884741 -0.94 0.346 -5.471283 1.916765 ------------------------------------------------------------------------------
xtseqreg investments l.investments fundraising loans realrate EV_EBITDA GDPGrowth, gmm(investments fundraising loans realrate EV_EBITDA GDPGrowth, lagrange(1 2) collapse) teffects vce(robust) Group variable: Country Number of obs = 322 Time variable: Year Number of groups = 23 Obs per group: min = 14 avg = 14 max = 14 Number of instruments = 24 (Std. Err. adjusted for 23 clusters in Country) ------------------------------------------------------------------------------ | Robust investments | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- investments | L1. | .343524 .0742916 4.62 0.000 .1979151 .4891328 | fundraising | .4023131 .0872731 4.61 0.000 .2312609 .5733653 loans | .0858774 .063126 1.36 0.174 -.0378473 .2096021 realrate | -.0598164 .1445509 -0.41 0.679 -.3431309 .2234982 EV_EBITDA | .4172634 .1554146 2.68 0.007 .1126565 .7218704 GDPGrowth | -.2297269 .2305901 -1.00 0.319 -.6816753 .2222214 | Year | 2009 | .6828628 .8297635 0.82 0.411 -.9434437 2.309169 2010 | .7206616 .7358084 0.98 0.327 -.7214964 2.16282 2011 | 1.530941 1.077079 1.42 0.155 -.5800947 3.641978 2012 | .4080854 .6441439 0.63 0.526 -.8544135 1.670584 2013 | .194311 .7907806 0.25 0.806 -1.355591 1.744213 2014 | -.1823429 .8501904 -0.21 0.830 -1.848686 1.484 2015 | -.3632815 1.126338 -0.32 0.747 -2.570863 1.8443 2016 | -1.887032 1.074414 -1.76 0.079 -3.992845 .2187815 2017 | -1.318689 2.079065 -0.63 0.526 -5.393582 2.756204 2018 | -2.829009 1.367854 -2.07 0.039 -5.509954 -.1480636 2019 | -1.583258 1.552625 -1.02 0.308 -4.626348 1.459831 2020 | -3.601026 1.462555 -2.46 0.014 -6.467581 -.7344706 2021 | -2.024731 2.20412 -0.92 0.358 -6.344728 2.295265 | _cons | 0 (omitted) ------------------------------------------------------------------------------
xtseqreg investments (l.investments fundraising loans realrate EV_EBITDA GDPGrowth) qe_D, iv(qe_D, model(level)) teffects vce(robust) Group variable: Country Number of obs = 322 Time variable: Year Number of groups = 23 ------------------------------------------------------------------------------ Equation _first Equation _second Number of obs = 322 Number of obs = 322 Number of groups = 23 Number of groups = 23 Obs per group: min = 14 Obs per group: min = 14 avg = 14 avg = 14 max = 14 max = 14 Number of instruments = 24 Number of instruments = 15 (Std. Err. adjusted for clustering on Country) ------------------------------------------------------------------------------ | Robust investments | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- _first | investments | L1. | .343524 .0742916 4.62 0.000 .1979151 .4891328 | fundraising | .4023131 .0872731 4.61 0.000 .2312609 .5733653 loans | .0858774 .063126 1.36 0.174 -.0378473 .2096021 realrate | -.0598164 .1445509 -0.41 0.679 -.3431309 .2234982 EV_EBITDA | .4172634 .1554146 2.68 0.007 .1126565 .7218704 GDPGrowth | -.2297269 .2305901 -1.00 0.319 -.6816753 .2222214 _cons | 0 (omitted) -------------+---------------------------------------------------------------- _second | qe_D | -.4532447 .3270456 -1.39 0.166 -1.094242 .1877528 | Year | 2008 | 1.709431 2.193838 0.78 0.436 -2.590412 6.009273 2009 | 2.412 2.519466 0.96 0.338 -2.526063 7.350063 2010 | 2.449798 2.392151 1.02 0.306 -2.238731 7.138328 2011 | 3.240372 2.062877 1.57 0.116 -.8027918 7.283536 2012 | 2.117516 2.220177 0.95 0.340 -2.233951 6.468983 2013 | 1.903742 2.004936 0.95 0.342 -2.025861 5.833344 2014 | 1.546794 1.895133 0.82 0.414 -2.167598 5.261186 2015 | 1.622037 1.574558 1.03 0.303 -1.464039 4.708114 2016 | .0785806 1.263686 0.06 0.950 -2.398198 2.55536 2017 | .6469234 .6114013 1.06 0.290 -.551401 1.845248 2018 | -.8436903 1.324827 -0.64 0.524 -3.440303 1.752923 2019 | .4020603 .9941911 0.40 0.686 -1.546518 2.350639 2020 | -1.576295 1.46051 -1.08 0.280 -4.438842 1.286252 2021 | 0 (omitted) | _cons | -1.689724 2.192586 -0.77 0.441 -5.987114 2.607666 ------------------------------------------------------------------------------ . estat overid Hansen's J-test for equation _first chi2(5) = 23.0000 H0: overidentifying restrictions are valid Prob > chi2 = 0.0003 Hansen's J-test for equation _second chi2(0) = 0.0000 note: coefficients are exactly identified Prob > chi2 = .
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