Hello everyone. I am working on an unbalanced panel data of 175 firms. The model I am using is GMM Panel VAR . I am using the following code for the model
Here ROA measures the firm profitability, DTTA is disputed taxes, HHI measures market competition, and InsDis is the institutional distance. They are the endogenous variables in the model.
How do I include exogenous variables in this model as in adding control variables to this model, for example, leverage, firm size, and firm age ? I need help with the correct code.
Also, since I am trying to understand endogenous relationships between the variables used in my code, how do I report control variables in the output and in te study? Are they really needed in a GMM Panel VAR model?
I will really appreciate if someone helps me with this.
Code:
pvar ROA DTTA HHI InsDis , instlags(1/3) gmmstyle
How do I include exogenous variables in this model as in adding control variables to this model, for example, leverage, firm size, and firm age ? I need help with the correct code.
Also, since I am trying to understand endogenous relationships between the variables used in my code, how do I report control variables in the output and in te study? Are they really needed in a GMM Panel VAR model?
I will really appreciate if someone helps me with this.
