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I run the same GMM model in two different samples (firms which have high imported input vs low imported input). I would like to test the coefficient estimates (particularly for fx) across the two samples. How can I do this?

xtdpd expshare l1.expshare fx dllabprod VIX Dolratetota lrsale col leverage2 lFGDP_s ipsectoralgrowth log_GDP if year>2001 & dummy_highimport==1, dgmmiv(Dolratetota lrsale dllabprod , lag(3 3)) div(lFGDP_s fx VIX ipsectoralgrowth log_GDP ) hascons twostep

xtdpd expshare l1.expshare fx dllabprod VIX Dolratetota lrsale col leverage2 lFGDP_s ipsectoralgrowth log_GDP if year>2001 & dummy_highimport==0, dgmmiv(Dolratetota lrsale dllabprod , lag(3 3)) div(lFGDP_s fx VIX ipsectoralgrowth log_GDP ) hascons twostep
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  • $\begingroup$ Welcome to the site. Can you clarify what kind of answer you want? If you are asking for code, that is off topic here. What language is that, anyway? $\endgroup$ – gung - Reinstate Monica Mar 4 at 14:16

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