Anyway to conduct dynamic model on panel data by using xtabond command in stata?

[Jurat Shahidin]

Dear all:

I found a challenge when I run a dynamic model on long panel data. I am hopeful that you could instruct me how to resolve my doubt.

I used a dynamic model on my long panel data (Temperature and Precipitation of German NUTS3 regions) which consist of 372 NUTS3 regions and 29 years. However, I am struggling to transform the dynamic model into Stata command where I want to include the following as system GMM command:

where my dependent variable is the GDP per Capita, and it is explained by: Temperature and its squared terms; Precipitation and its squared terms; plus 1 lag of GDP per Capita.

my question is how to conduct this dynamic panel model correctly using xtabond2 command in Stata. Could you instruct me how to run a dynamic model on my long panel data correctly? How can I determine exogenous and endogenous variable in this dynamic panel model? How to determine which instrument variables should be used in the dynamic model? Can anyone instruct me how to run dynamic model correctly?

To easy to reproduce my problem, I would like to share my dofile, I am very hopeful that someone will help me out, this problem is challenging for me. Thanks in advance

[Phil Bromiley]

Welcome to Stata list. If you look under Help, it will lead you to the pdf documentation that comes with Stata. In the longitudinal Data/Panel Data documentation, xtabond, xtdpd, and xtdpdsys do gmm dynamic panel data models. User written xtdpdml is also of interest.

When you've really worked on the documentation and tried things out, come back with a specific question. Do follow the FAQ on asking questions.