Dynamic panel model with lagged effects of x on Y

[Drishta Tengur]

I have dynamic panel data (countries=27 and t=21) with dependent variable (Y) and the independent variables of X1, X2, X3 and the lagged dependent variable. The independent variables have an impact on Y a year later.

The estimating regression will then look as follows:

Yt = aYt-1 + bXit-1 + ct+ dt +et, where c, d and e are the country specific effects, time dummies and unobserved eeror term respectively.

Is it possible to include the lagged effect in a system-GMM estimator?

[Sebastian Kripfganz]

There is no problem with that. Just specify the lags in the list of independent variables. You would then probably also want to use lags in the specification of the instruments.

[Phil Bromiley]

Look at the documentation for xtabond, xtdpd, xtdpdsys, and user written xtabond2 and xtdpdml (not gmm). This is the main reason for these estimators.

[Sebastian Kripfganz]

To add another possible command to the list:
XTDPDGMM: new Stata command for efficient GMM estimation of linear (dynamic) panel models with nonlinear moment conditions