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?