Need help defining variables in GMM

[Shivani Kumar]

I am not sure how to define my variables in the GMM model. I have a dependent variable ROA and independent variables CAR CD logsize NIM NII INF GDP EPU.
my command for GMM would be xtabond2 ROA L.ROA CAR CD logsize NIM NII INF GDP EPU gmm(L.ROA CAR CD logsize NIM NII) iv(INF GDP EPU). My question is, can I input the independent endogenous variables CAR CD logsize NIM NII as internal instruments without a lag? or do I need to input them as a lag? I'm new to GMM method so any advise would be appreciated, thanks in advance.

[Sebastian Kripfganz]

The following presentation slides might be useful:

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