GMM for time series

[wajid islam]

Hello Statalist,
1.I am using time series data. my main equation is
pb_{t =} a₀+a₁pb_t-1+a₂pd_t-1+og_t+e
but there is a problem of endogeneity so we use instrumental variables and the equation for that is
pd_t-1= b₀+b₁pb_t+b₂EX_t+b₃og_t-1+v_t here (EX and og_t-1 are instrumental variables)
here
pb is primary balance
pd is public debt
og is output gap (using HP filter)
EX is exchange rate.
how to use GMM for the above mention data particularly the IV's.
2. As my data is time series so do we need stationarity check before using GMM?.
Thanks for your valuable input.

[Dario Maimone Ansaldo Patti]

Your second equation looks wired. Apparently you use variables at time t to instrument a variable at time t-1?

If you want to use gmm, you can use ivregress with the gmm option.

Type

help ivregress

in the command window.