A Tutorial in Panel GMM models in Stata - 2SLS, GMM, Arellano Bond, Blundell Bond, Sys & Diff. GMM
This video explores the panel data models with endogeneity, which can arrive from a new endogenous variable or lag of dependent variable (Nikel Bias). We start with simple fixed effect model with lag of dependent variable as a benchmark and compare it with different version of panel GMM models.