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From |
Giovanni Bruno <giovanni.bruno@unibocconi.it> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: lags of the x's in xtabond |

Date |
Tue, 4 May 2004 12:32:06 +0200 |

Tewodaj, It seems to me that 1. xtabond y , lags(1) pre(x, lag(1,1) ) 2. xtabond y , lags(1) pre(x lag_x, lag(0,1) ) actually provide different estimators for the same model: y(it) = y(i t-1) + x(it) + x(i t-1) + e(it). While method 1 includes L1.x (but not further lags) as instruments, method 2 includes both L1.x and L1.lag_x, which is L2.x, as instruments. This also explains why method 2. is equivalent to 3. xtabond y , lags(1) pre(x, lag(1,2) ) which still considers the same model but includes L1.x and L2.x as instruments, exactly as method 2. Giovanni TEWODAJ MOGUES <tmogues@students.wisc.edu>: > Hi Stata users, > > I am setting up a distributed lag model in xtabond, and I am a bit puzzled > about what xtabond is doing exactly when I restrict the instrument set of the > distributed lags. > > Say I want to model: > y(it) = y(i t-1) + x(it) + x(i t-1) + e(it) > where x is a predetermined variable. Suppose I want to restrict the > instrumens of x to just one further lag of x. There are two ways to write the > command, and they should be identical: > > 1. xtabond y , lags(1) pre(x, lag(1,1) ) > 2. xtabond y , lags(1) pre(x lag_x, lag(0,1) ) > > where lag_x is a variable I created by typing: > generate lag_x = L.x > These two commands give different results, which is puzzling. On the other > hand, 2. gives, strangely enough, identical results to the following > command: > 3. xtabond y , lags(1) pre(x, lag(1,2) ) > > My question is: If I want to restrict the instruments of x to just one lag, > which of the commands above should I use? Asked more open-endedly: What is it > that 1. is doing versus that which 2. and 3. are doing in terms of the > instrument set they are setting up? > > Thanks for any thoughts on this. > Tewodaj > > ~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~ > Tewodaj Mogues > Dept. of Agricultural and Applied Economics > University of Wisconsin - Madison > 427 Lorch St. #317, Taylor Hall > Madison, WI 53706 > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Giovanni Bruno Istituto di Economia Politica, Università Bocconi Via U. Gobbi, 5, 20136 Milano Italy tel. + 02 5836 5411 fax. + 02 5836 5438 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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