System-GMM and iv() option for instrumental variables

[Taka Sakamoto]

Dear Statalisters:

I have an elementary question about the use of the iv() option in xtdpdgmm. In the command below, "smei4" shows up both as an independent variable and as an instrumental variable in iv(). Is this command problematic? Do I need to lag the instrumental variable like "iv(smei4,lag(1 1) model(level))"? Is it also legitimate to use it like "iv(smei4,lag(0 1) model(level))" or is it problematic again?

Thank you for your help.

Taka

xtdpdgmm gdpgrow smei4 inflation gfcfgrow hfcegrow tradeopen l.lrgdpopc if id~=10,gmm(gdpgrow inflation  gfcf
> grow hfcegrow  , lag(2 2) collapse model(diff)) gmm(gdpgrow inflation  gfcfgrow hfcegrow , lag(1 1) diff coll
> apse model(level)) iv(smei4,model(level))  one vce(cl id) small

Generalized method of moments estimation

Fitting full model:
Step 1         f(b) =  .47394918

Group variable: id                           Number of obs         =       541
Time variable: year                          Number of groups      =        20

Moment conditions:     linear =      10      Obs per group:    min =         3
                    nonlinear =       0                        avg =     27.05
                        total =      10                        max =        29

                                    (Std. err. adjusted for 20 clusters in id)
------------------------------------------------------------------------------
             |               Robust
     gdpgrow | Coefficient  std. err.      t    P>|t|     [95% conf. interval]
-------------+----------------------------------------------------------------
       smei4 |   .2788973   .0764853     3.65   0.002     .1188117    .4389829
   inflation |   -.026597   .1618153    -0.16   0.871    -.3652804    .3120864
    gfcfgrow |   .2534804   .0579185     4.38   0.000     .1322556    .3747052
    hfcegrow |   .2839644   .2120591     1.34   0.196    -.1598803    .7278091
   tradeopen |  -.0363412    .008684    -4.18   0.001     -.054517   -.0181655
             |
    lrgdpopc |
         L1. |  -.6204065   1.328873    -0.47   0.646     -3.40177    2.160957
             |
       _cons |   9.264398   13.73028     0.67   0.508    -19.47342    38.00221
------------------------------------------------------------------------------
Instruments corresponding to the linear moment conditions:
 1, model(diff):
   L2.gdpgrow L2.inflation L2.gfcfgrow L2.hfcegrow
 2, model(level):
   L1.D.gdpgrow L1.D.inflation L1.D.gfcfgrow L1.D.hfcegrow
 3, model(level):
   smei4
 4, model(level):
   _cons

[Sebastian Kripfganz]

An answer was provided in another topic:
https://www.statalist.org/forums/for...10#post1724910

[Taka Sakamoto]

Thank you, Sebastian.