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st: RE: xtabond

From   <>
To   <>
Subject   st: RE: xtabond
Date   Mon, 3 May 2004 12:55:10 +0200

Hi antonio

If you specify maxldep (3) I think that stata will use yt-2 and yt-3 and yt-4
(it will never use yt-1, it is not a good instrument in the differenced
equation). Perhaps if you want to use yit-2 that menas one lag since yt-1
does not work, so you should try with maxldep(1)

Hope it works


-----Original Message-----
[] On Behalf Of Antonio Rodrigues
Sent: dimanche 2 mai 2004 22:27
Subject: st: xtabond

Hi everybody
I am using xtabond to estimate a dynamic panel data model. I want to use
lagged values of Y as instruments. There is an option named maxldep(). Assume
that I want to use only y(i,t-2). If I specify maxldep(3), STATA uses yt-1
yt-2 yt-3 as instruments of Dy(i,t-1)

Any thoughts

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