I am new to Stata and I am using a panel data of 203 firms over 4 years over different countries for my thesis. Time-invariant variables are owner type dummies, an ownership concentration variable, industry dummies, and possible country dummies. Rest are time variant including a country level variable which I want to use as an interaction term. I wonder how to proceed from now as I don't know what test is appropriate?
A paper I am following with similar constructs neatly uses 3 different models. The first model is seen in the picture, CG and F are firm-level vars, so is this firm fixed effects? In model 2 they introduce the country-level variable. And then interacts country and firm level in model 3. Is this something I could do? It seems appropriate since I also want to use the country factor as a moderator.
However, recent advances in my field also argue for using a system GMM, since my variables rarely fit the strict exogeneity assumptions. Would it be appropriate to do the 1-3 model as above, then lastly comparing those static models with the dynamic?