How do I estimate a GMM-SYS mode?

Question

Hello, I'm trying to evaluate a Diff-GMM and SYS-GMM using gretl. I'm confused about the SYS-GMM model, how it is used. selecting it has a note that it includes a level equation, but i'm not sure what it refers to. Does it mean that it includes the first differences of the variables or the first differences with their lags both dependent and independent variables? Can you help me with that?

Answer 1

The SYS-GMM model in gretl includes a level equation, which means that it includes the original (undifferenced) variables. It does not refer to the first differences or their lags.