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  • [HELP] GMM panel data!

    First of all, I have to admit that I am really a super newbie in econometric.
    I want you to help me running GMM estimation in Stata 13 MP.
    The data I have contain "net sale growth - nsg" proxy for the growth of firms; "net income to sales - nis" proxy for the profitability of firms; ln(total assets) and debt/assets D/A are control variables. I collected data from 2007-2013.
    The first model is static, as follow: nsg(i,t) = a +b1 nis(i,t-1) + b2 nis(i,t-2) + b3 control(i,t-1) + u
    and : nis(i,t) = a + b1 ngs(i, t-1) + b2 ngs(i, t-2) +b3 control(i,t-1) + u
    the dynamic model is : nsg(i,t) = a + yi nsg(i,t-1) + b1 nis(i,t-1) + b2 nis(i,t-2) + b3 control(i,t-1) + u
    and: nis(i,t) = a +yi nis(i,t-1) + nsg(i,t-1) + b2 nsg(i,t-2) + b3 control(i,t-1) + u
    So, what must I do now? I cannot imagine what to do!
    I don't even know the command in stata.
    https://app.box.com/s/ftg97qlonsqs84gfn6slbdfy6c0gjfob
    Here is the paper that I'm trying to follow with the data in my country, Vietnam.
    Please help me! I really appreciate!
    P/S: I'm not really good at English, so hopefully this thread doesn't make you be confused!
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    Last edited by TungDuy Hoang; 25 Feb 2015, 21:06.

  • #2
    Any help?

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    • #3
      Oh, common!

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      • #4
        Bumping your thread once is widely considered acceptable, but twice is pushing the point too far. Sorry, but the signal is that your question is not one that anyone wants to answer. Why I can't say. I stopped at GMM because I don't use that method and can't advise.

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