Hi everyone
I am trying to run a model in proc panel in SAS using system GMM. I have a few questions related to instrument statement
1. If i specify an instrument in predetermined list, does SAS automatically creates its lagged values?
2. If i am using country level data, all instruments i use may be correlated with individual effects, what should i do in this case?
3. How should one choose appropriate instruments. All the regressors seem to be related to the dependent variable, why should not i include all of them in instument statement.
I will be thankful if some one can guide me on the use of instruments in system GMM.
