How does Stata handle missing values in dynamic panel GMM estimation?

[Joonho Hwang]

In dynamic panel analysis, I'm curious about how Stata handles missing values when estimating parameters using GMM approaches like the Arellano-Bond or Blundell-Bond estimators.

I understand that in fixed effect estimation, Stata deletes rows with missing values. Is the same approach used in dynamic panel GMM estimation as in fixed effect estimation?

[Sebastian Kripfganz]

We would need to know which Stata command you are using. With any command, if there are missing values in the dependent or independent variables, those observations (rows) are dropped from the estimation command. If the missing values are in the instruments, then different commands might handle them differently. My xtdpdgmm command always replaces missing values in the instruments with zeros. As a consequence, those observations do not contribute to the specific moment condition implied by the respective instrument, but they are still used to construct moment conditions for other instruments (if they are nonmissing).