I have a dynamic panel data set with one dependent variable and a set of independent variables. On this set, I want to run analysis using GMM. TIt would be preferable if the person is proficient in Stata. The deliverables include:
1) Testing for basic conditions like heteroskedasticity, autocorrelation, stationarity and any other tests(s) required for dynamic panel data regression.
2) GMM (one step and two step), using Arellano-Bover and Blundell-Bond estimators modeling (by trying various lags to identify significant variables).
3) A short summary of the results.
I would need a do file in stata for the same.