Hi,
In (Abdallah, Goergen and O'Sullivan, 2015), the authors mention that it is possible to include time-invariant binary variable in system GMM. Attached is the screenshot of the same. I would like to know if this is true. I think that time-invariant variables should get removed from the model as system GMM first differences the variables.
References:
Abdallah, W., Goergen, M. and O'Sullivan, N. (2015). Endogeneity: How Failure to Correct for it can Cause Wrong Inferences and Some Remedies. British Journal of Management, 26(4), pp.791-804.
In (Abdallah, Goergen and O'Sullivan, 2015), the authors mention that it is possible to include time-invariant binary variable in system GMM. Attached is the screenshot of the same. I would like to know if this is true. I think that time-invariant variables should get removed from the model as system GMM first differences the variables.
References:
Abdallah, W., Goergen, M. and O'Sullivan, N. (2015). Endogeneity: How Failure to Correct for it can Cause Wrong Inferences and Some Remedies. British Journal of Management, 26(4), pp.791-804.
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