Hi all,
I am wondering if my code for my GMM model is correct. I will give you some background into my regression: I have 1 dependent variable (ESG score) and 7 independent variables (institutional ownership, total assets, short term debt, long term debt, revenue and two dummy variables). My code at the moment is xtabond2 LogESG LagLogESG IO TotalAssets STDebt LTDebt Revenue Dummy1 Dummy2, gmm(LogESG) iv(IO TotalAssets STDebt LTDebt Revenue Dummy1 Dummy2) noleveleq nodiffsargan robust small. In my normal regression, I received a statistically significant result for institutional ownership however in my GMM model it was not statistically significant. Is this code right or am I doing something wrong?
I am wondering if my code for my GMM model is correct. I will give you some background into my regression: I have 1 dependent variable (ESG score) and 7 independent variables (institutional ownership, total assets, short term debt, long term debt, revenue and two dummy variables). My code at the moment is xtabond2 LogESG LagLogESG IO TotalAssets STDebt LTDebt Revenue Dummy1 Dummy2, gmm(LogESG) iv(IO TotalAssets STDebt LTDebt Revenue Dummy1 Dummy2) noleveleq nodiffsargan robust small. In my normal regression, I received a statistically significant result for institutional ownership however in my GMM model it was not statistically significant. Is this code right or am I doing something wrong?
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