Please Help with xtabond2

[Ganesh Lamichhane]

Hello:
my variables are
Y X1 (endogenous) x2(predetermined) x3 x4 x5 x6 x7 x8 x9 x10 x11 x12 x13 (exogenous) variables

the endogenous variable is lagged 2 period and the predetermined variable is lagged 1 period (i am much confused with the lags)

I am to estimate one-step system GMM model

What would be the command line for the estimate? how do i treat lags for '

xtabond2 Y l.Y l(1/2).X1 x2 x3 x4 x5 x6 x7 x8 x9 x10 x11 x12 x13, gmm(l.Y l.X1 x2, lag(? ?), iv(x3 x4 x5 x6 x7 x8 x9 x10 x11 x13)small Is this command like okay? what lag should i take. Please advice.
Thank you.

[Ganesh Lamichhane]

Please note: the last two variables x12 and x13 are dummy variables

[Ganesh Lamichhane]

Please help me with the model. I am estimating bank profitability
dependent ROA
Capitalization endogeneous (2 lags)
LLPTL predetermined (1 lag)
Bank size, liquidity, taxation, overhead cost, diversification, labor productivity, banking sector development, stock market development, infflation, GDP, LLPTL Lerner index - exogenous variables
DummyJVCB and DummyPVT - Dummies

I am using the following model, but I am confused with lags, gmm, and IV. Please help me with the idea if the following equation is okay.

xtabond2 ROA l.ROA l(1/2).Capitalization BankSize Liquidity Taxation OverheadCost Diversifisation LaborProductivity BankingSectorDevelopment StockMarketDevelopment Inflation GDPGrowthRate LLPTL LernerIndex DummyJVCB DummyPVT, gmm(l.ROA l.Capitalization, lag(2 2)) iv(DummyJVCB DummyPVT, eq(level)) small

Thank you all in advance.

[Sebastian Kripfganz]

You did not specify instruments for your variables BankSize Liquidity Taxation OverheadCost Diversifisation LaborProductivity BankingSectorDevelopment StockMarketDevelopment Inflation GDPGrowthRate LLPTL LernerIndex. You should specify instruments for all of them. They are not created automatically. Please read the following article:
Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. Stata Journal 9 (1), 86-136.

[Ganesh Lamichhane]

Thank you Prof. Sebastian Kripfganz. What about lags? How do i specify labs for my one endogenous var Capitalization, one dependent variable ROA, and one predetermined var LLPTL ? Hoping for you kind guidance. Thank you once again.

[Ganesh Lamichhane]

So the possible model for my equation would be:

xtabond2 ROA l.ROA l(1/2).Capitalization BankSize Liquidity Taxation OverheadCost Diversifisation LaborProductivity BankingSectorDevelopment StockMarketDevelopment Inflation GDPGrowthRate LLPTL LernerIndex DummyJVCB DummyPVT, gmm(l.ROA, lag(1 .)) gmm(LLPTL, lag(1 .)) gmm(l.Capitalization, lag(2 .)) iv(BankSize Liquidity Taxation OverheadCost Diversifisation LaborProductivity BankingSectorDevelopment StockMarketDevelopment Inflation GDPGrowthRate LernerIndex DummyJVCB DummyPVT, eq(level)) small