How to select optimal GMM model

[Tarek Tuma]

Greetings,

I am estimating several specifications for the macroeconomic determinants of non-performing loans using system GMM with xtabond2. The literature dopesn't have a theorical model for it, so pretty much all specifications are empirical.

Usually with time series models people select optimal specifications with information criterion like AIC or BIC, but from what I read those methods apply only to maximum likelehood estimations (and I coldn't find a way to apply them with xtabond2). I would like to know if there is a standard way to select a specification between several models with GMM.

best wishes,
Tarek Tuma

[Sebastian Kripfganz]

I have a section on model selection in my 2019 London Stata Conference presentation slides:

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

[Tarek Tuma]

Sebastian,

Thank you very much for your answer, I believe that fully solves my problem.

Best wishes,
Tarek Tuma