Two step GMM Query

[shhreya jain]

I am getting one matrix for GMM, I do not understand why. Is there a minimum time period needed for it to run? I did it for two other datasets and it worked okay. Here is what I see in results

Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen test.
Difference-in-Sargan/Hansen statistics may be negative.

[Sebastian Kripfganz]

I am getting one matrix for GMM

I am afraid, I do not understand what you mean by this.

The warning message you got often appears when you have too many instruments.

The following presentation slides might be helpful:

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