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st: xtivreg, fd


From   "Antonio Rodrigues Andres" <ara@sam.sdu.dk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtivreg, fd
Date   Fri, 30 Apr 2004 13:04:56 +0200

Dear Stata users
I am trying a simple dynamic model with the lagged value of the dep.
variable as regressor. I pretend to obtain the Anderson-Hsiao estimator
using yit-2 as instrument but i did not succeed. I should get the same
results using xtivreg, fd and ivreg with the differenced variables

Does anybody knows why not

sort country year
by country: gen lsrt_1=lsrt[_n-1]
by country:gen lsrt_2=lsrt[_n-2]
gen dlsrt=lsrt-lsrt_1
gen dlsrtl=lsrt_1-lsrt_2

Model yt=  alpha* yt-1 + eta _i +ut
variables have been already differenced

ivreg dlsrt (dlsrtl=lsrt_2) using yit-2 as instrument

tsset country year
xtivreg lsrt (lsrt_1=lsrt_2), i(country) fd

Regards
Antonio
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