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hiravirk
Calcite | Level 5

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.

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