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I have one question, maybe very simple. In Stata in dynamic panel data model (GMM estimator) you recieve a "number of instruments". In turn, in R you recieve AR test, sargan test but the "number of instruments" is nor displayed. How to obtain number of isntruments in R? Thank you for helping

lucas79
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  • Could you give an example of code you're using in your question (edit the question)? Knowing which library and/or function may help someone find an answer for you. – Ryan Morton Jun 27 '18 at 17:44
  • This is my model (dynamic panel data model): – lucas79 Jun 27 '18 at 18:07
  • pgmm(formula = per.cap ~ P1 + invest + educ3, data = testdat, effect = "twoways", model = "twosteps", ... = list(lag.form = list(1, 0, 0, 0), gmm.inst = ~per.cap, lag.gmm = list(c(2:99)))) – lucas79 Jun 27 '18 at 18:10
  • lag(per.cap, 1) 0.766586 0.217325 3.5274 0.0004197 *** P1 -0.997391 0.522269 -1.9097 0.0561688 . invest 0.041296 0.185683 0.2224 0.8240026 educ3 0.072270 0.269289 0.2684 0.7884131 --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Sargan Test: chisq(5) = 11.33552 (p.value=0.045119) Autocorrelation test (1): normal = 0.4150361 (p.value=0.67812) Autocorrelation test (2): normal = 0.1294214 (p.value=0.89702) Wald test for coefficients: chisq(4) = 23.01949 (p.value=0.0001255) – lucas79 Jun 27 '18 at 18:11
  • You need to put your code into your original question, preferably into a code block, or people are less likely to help. – Ryan Morton Jun 27 '18 at 18:11
  • but I don't find number of instruments , – lucas79 Jun 27 '18 at 18:12
  • I dont know why R does not display the number of instruments. In Stata or Gretl this information is displayed, – lucas79 Jun 27 '18 at 18:15

1 Answers1

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If you used all the 99 lags available for the instrumental variable, the number of instruments (for each instrumental variable) will be: (0,5 x t-1 x t-2) + the number of time dummies you used.

(t is the time span of your data).

If you used less the all available lags, I don’t know how to calculate the number of instruments. If someone knows, please tell me!!

Sérgio Krakowiak
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  • As it’s currently written, your answer is unclear. Please [edit] to add additional details that will help others understand how this addresses the question asked. You can find more information on how to write good answers [in the help center](/help/how-to-answer). – Community Aug 24 '22 at 10:49