I am implementing system GMM using the xtabond2 command. I would like to generate instrumental variables from lags of an exogenous variable. Therefore, rather than introduce the instruments with the option ivstyle, I am considering using gmmstyle with laglimits(0 .) - to capture both the current value as well as lags. As a test I have used laglimits(0 0) and collapse to compare with ivstyle. The results were similar but not identical to ivstyle. Just checking if anyone else has introduced lags this way or have a better suggestion. Thank you, Dan
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