I have already run panel data analytical techniques using pooled OLS, fixed and random effect model on my panel dataset. I want to further know, the appropriate model to run for the robustness check. I have gone through some papers, and found GMM and 3SLS method used in several papers. Can you kindly provide me the guidance on how to choose an appropriate model for it?
It would be great help if the team can provide me with GMM or 3SLS codes.
The package gmm will do gmm. The package systemfit will do 3SLS. (I haven't tried either one.) Both will require you to specify instruments of course. The later will do a Hausman test for erogeneity I believe. Not so sure about the former.
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