Gmm method

[basem ertimi]

Dear Statalist,

I have panel data with T=8 and N=21. Because the model has lag dependent variable, I would like to use a dynamic model using GMM. However, I understand that the GMM model is efficient for large N and small T. is it ok to use the GMM in this , as i couldn't find in the literature the minimum number of cross-sections N? stata.org.docx

[basem ertimi]

Sargan test	0.619	0.619	0.619
Hansen test		0.780	0.780
AR (1)	0.007	0.064	0.043
AR (2)	0.633	0.604	0.504
Number of groups	21	21	21
Number of instruments	13	13	13
Observations	147	147	147

[basem ertimi]

Any help?