I tried following command
xtdpdgmm L(0/1).Y X1*X2_h X1*X2_l X3 X4, model(diff) collapse gmm(Y X3 X4, lag(2 4)) gmm(X1*X2_h X1*X2_l, lag(1 7)) gmm(Y X3 X4, lag(1 1) diff model(level)) gmm(X1*X2_h X1*X2_l, lag(0 0) diff model (level)) vce(r, dc) overid twostep However, it gives this error:
no observations
r(2000);
In this case, should I replace the missing values in the newly generated threshold variables with zero? As follows:
gen X2_h = X2 if X2 > 0.32
replace X2_h = 0 if X2_h == .
gen X2_l = X2 if X2 <= 0.32
replace X2_l = 0 if X2_l == .
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