System GMM

[Kriti Sharma]

I am trying to regress export intensity on digital assets. The equation is export intensity = f(lagged export intensity, digital assets of the firm, firm size, firm age, service input intensity, total factor productivity, debt to equity ratio). All are endogenous variables except for age and debt to equity. I am currently deploying system GMM. since lag of the dependent variable is to be taken for my regression. I have data from 1990 to 2018, I am thinking of introducing a time dummy with value equal to 1 for years post 2000 so as to not loose out on observations prior to that. I wish to introduce an interaction dummy of time and digital adequacy. Please guide me on how to go about it.