In which parentheses (gmmstyle() or ivstyle()) should I insert my explanatory variables?

[raphael rodrigues]

Hi. I'm estimating a regression between municipal GDP per capita - as a dependent variable - and municipal social spending (education spending, health spending, sanitation spending, housing and urban planning) and the lagged dependent variable - as explanatory variables with variables time dummy as follows gdp education health spending housing spending yr* my question is whether I should insert my explanatory variables (X) in the parentheses of gmm style ( ) or ivstyle ( ) xtabond2 gdppercapita laggedgdppercapita educationspeding healthspending housingspending yr*, gmmstyle(laggedgdppercapita, collapse) ivstyle(educationspeding healthspending housingspending yr*) twostep robust or xtabond2 gdppercapita laggedgdppercapita educationspeding healthspending housingspending yr*, gmmstyle(laggedgdppercapita educationspeding healthspending housingspending, collapse) ivstyle(yr*) twostep robust or xtabond2 gdppercapita laggedgdppercapita educationspeding healthspending housingspending yr*, gmmstyle(laggedgdppercapita L.(educationspeding healthspending housingspending), collapse) ivstyle(yr*) twostep robust

[Sebastian Kripfganz]

There is no straightforward answer to that question. You first need to decide which variables shall be treated as strictly exogenous, predetermined, or endogenous. Based on that classification, you could then follow examples given in my 2019 London Stata Conference presentation:

• Kripfganz, S. (2019). Generalized method of moments estimation of linear dynamic panel data models. Proceedings of the 2019 London Stata Conference.

[raphael rodrigues]

Thanks Sebastian. Im was already using your presentation. Its clear now.