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st: RE: Intruments in XTABOND


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Intruments in XTABOND
Date   Mon, 18 Aug 2003 19:07:36 +0100

Ortega, Araceli

> " I am estimating a model using the XTABOND command, using some
> additional instrumental variables, such that the model is
>
> xtabond income l.Hcapital l.Pcapital l.exp, inst(tax1 tax2 tax3)
>
> XTABOND doest not deliver the coefficients for tax1 tax2 tax3.
>
> 1. How can I recover those three coefficients?
> 2. How can I specify that tax1 tax2 tax3 are instruments
> only for l.exp.
> 3. I have done the same estimation using "xtivreg, fe" and
> "xtivreg, re"
> and using the command first, you can visualise the
> coefficients of tax1
> tax2 tax3. But I need to use Xtabond"

I don't know any econometrics really, but I can always quote
Kit Baum, who can't be with us today. He wrote this on
6 August in response to some other instrumental question:

`"You should disabuse yourself of the notion that "this
is an instrument for that"; as frequently mentioned on this list and
in
the cited Stata FAQ, instrumental variables estimators do not work
that
way. All of the Z variables are instruments for all of the included Y
variables."'

Nick
n.j.cox@durham.ac.uk

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