Dear all,
I am struggling with the Arellano-Bover/Blundell-Bond model, especially with how many lags to include. I have no idea when to add 1rst, 2nd or 3rd lag to the dependent variable and the endogenous variables.
Should I follow some sort of error and trial by running the model and than testing it with the Sargan test?
Many thanks in advance
I am struggling with the Arellano-Bover/Blundell-Bond model, especially with how many lags to include. I have no idea when to add 1rst, 2nd or 3rd lag to the dependent variable and the endogenous variables.
Should I follow some sort of error and trial by running the model and than testing it with the Sargan test?
Many thanks in advance