If w1 is strictly exogenous, w2 is predetermined but not strictly exogenous,
and w3 is endogenous, then:
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xtabond2 y L.y w1 w2 w3 i.t, gmmstyle(L.y w2 L.w3) ivstyle(i.t w1)
twostep robust small orthogonal
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would fit the model with the standard choices of instruments
—here with two-step system GMM,
Windmeijer-corrected standard errors,
small-sample adjustments,
and orthogonal deviations.
