Hi Ralitza,
Thanks fot the reply... first, your question: you can add year dummies
using the xi command along with xtabond. then you just have to define
diffvars(i.year).
mine
On Tue, 16 Sep 2003, Dimova, Ralitza wrote:
> Hi Mine,
>
> I also had trouble using time dummy interactions with the xtabond
> command. In fact, I couldn't figure out a way whereby the program does
> not automatically include year dummies in the regression. Have you?
>
> Have you tried using the Gauss DPD instead? It turned out easier than
> I expected. And it is very flexible in specifying instruments with the
> "right" lags. If you are interested I can send you a detailed
> algorithm and there are also good descriptions on the Arellano's
> website.
>
> Ralitza
>
> -----Original Message-----
> From: Mine Zeynep Senses [mailto:[email protected]]
> Sent: Tuesday, September 16, 2003 5:00 AM
> To: [email protected]
> Subject: st: xtabond
>
>
> Hi,
> I sent this e-mail a while ago and I got no reply. I am sort of hoping
> that somebody who used this command joined the list in the meantime. sorry
> for duplicates but I am sort of getting desperate!!
> so any little help will be very appreciated.
> mine
>
> > I have a question regarding the xtabond command. I am using:
> > xi: xtabond investment_2, lags(1) maxlags(3) pre(sales_k, lag(0,3))
> > pre(cash_k, lag(0,3)) diffvars(i.year i.industry)
> >
> > I want to add an interaction variable: year*cash_k. Year is a dummy
> > variable and cash_k is predetermined. So what i would like is to
> > instrument this variable with year*cash_k(lag) etc. Defining it
> > predetermined will use (year*cash_k)(lag) which is probably not right.
> >
> > is there a way to do this? I will appreciate any help.
> > mine
>
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