Hi!
I am running a system GMM estimator for dynamic panel data models.
I need to perform some computations after the second step estimation than involve the
matrix of instruments, the matrix of regressors (both differenced and level), and the
weighting matrix used in computation of the system GMM (obtained from first step
estimates).
Is it possible to recover these information after the dpanel command?
Would also be possible to compute the Ahn & Schmidt non linear panel data estimator in
gretl? Should I program it by myself using gmm?
Thank you
Laura