open CEL.gdt

ngd = n + 0.05
ly = log(y)
linv = log(s)
lngd = log(ngd)

# take out time means
loop i=1..8
  smpl (time == i) --restrict --replace
  ly -= mean(ly)
  linv -= mean(linv)
  lngd -= mean(lngd)
endloop

smpl --full
list X = linv lngd
# 1-step GMM-DIF
dpanel 1 ; ly X ; GMM(X,2,99)
# 2-step GMM-DIF
dpanel 1 ; ly X ; GMM(X,2,99) --two-step
# GMM-SYS
dpanel 1 ; ly X ; GMM(X,2,99) GMMlevel(X,1,1) --two-step --sys