Dear professor Sebastian Kripfganz
when we implement system gmm in which equation do we have to include the standard instrumental variables? level or difference equation or both?
In time dummy case, xtdpdgmm automatically insert time dummies in the level equation with the teffects optioin. which strategy is the best one?
In my case according to the choice of equation type, the estimation results differ. So what is the right thing?
Thanks lot!
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