Hello,
I am running system GMM on dynamic panel data. My question is what estimate for covariance matrix (h) should I prefer. H(1) assumes homoskedasticity, which is not present in my data. So, I am between h(2) and h(3) which give quite different results.
Thank you!
I am running system GMM on dynamic panel data. My question is what estimate for covariance matrix (h) should I prefer. H(1) assumes homoskedasticity, which is not present in my data. So, I am between h(2) and h(3) which give quite different results.
Thank you!
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