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You can also see JM Wooldridge Econometric Analysis of Cross Section and Panel Data. It is best for you if you follow a testbook by doing econometrics with a software. Princeton used to have onlne spme tutorial on stata. A youtube channel econometrics academy I think was called had also some tutorials with codes


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Baldagi Econometric Analysis of Panel Data


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I'm not trying to be picky, but just in case, there is no such thing as the consistent but inefficient estimator. Perhaps you mean a consistent but inefficient estimator? Your estimator is the OLS estimator. See $X'X$ cancelled. If you only use the moment conditions $E(x_t u_t)=0$, then OLS is the only GMM (or actually MM) estimator that can follow. As the ...


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