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Re: st: RE: RE: Intruments in XTABOND


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, "Ortega, Araceli" <aorteg@essex.ac.uk>
Subject   Re: st: RE: RE: Intruments in XTABOND
Date   Mon, 18 Aug 2003 22:10:26 +0100 (BST)

Araceli,

Instruments (to be more precise, "excluded instruments" such as those 
specified in the inst() option) do not have coefficients.  I suspect, 
though, that what you are looking for are the coefficients in the 
equivalent of the "first stage" regression in an Arellano-Bond estimation.

xtabond doesn't have a -first- option.  I had a quick look at the code and 
it looks like the estimations are done in one step, i.e., xtabond doesn't 
actually do the "first stage" regressions explicitly.  I think this means 
that you're out of luck and your only option would be to do the first stage 
regressions yourself.

--Mark

Note to our friends at Stata Corp: I agree with Araceli that a -first- 
option for xtabond might be a useful feature.

Quoting "Ortega, Araceli" <aorteg@essex.ac.uk>:

> Thank for that bit. But is there any way to recover the estimated
> coefficients for the instruments? Like in XTIVREG?
> 
> Kind Regards,
> Araceli
> 
> -----Original Message-----
> From: Nick Cox [mailto:n.j.cox@durham.ac.uk] 
> Sent: 18 August 2003 19:08
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: Intruments in XTABOND
> 
> 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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Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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