I want to (consistently) estimate the following model:

$y_{it}=\beta_0 +\beta_1 y_{i,t-1} +\beta_2 y_{i,t-1}\times x_{it} +\beta_3 x_{i,t} +\beta_4 \Gamma_{it}+\varepsilon_{it} $

Given I use a lagged dependent variable, I am considering to use the Arellano Bond estimator. In Stata I would run:

gen yXy = L.y*x 
xtabond y yXx x Gamma, vce(robust) 

Should I be concered about the interaction?


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