GMM coefficients

[Niko Sarafidis]

Hi statalisters,

I have some doubt about the dynamic short panel data estimation. When one makes an estimation using the GMM for example, the coefficients obtained are for short-run only or there are no distinction about it?

I mean, in a model like this ==> yit = yit-1 + xit + u, the coefficients for x's are of short-run only?

[Phil Bromiley]

You'll increase the chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. Also, assume we're not from your area

I don't work in this area, but as I understand it, such time series estimates are short run. The long run effect will depend on the parameters on both the x's and the lagged dv.