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From |
TEWODAJ MOGUES <tmogues@students.wisc.edu> |

To |
ddrukker@stata.com, Stata _ <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Does the xtabond command have a mistake??? |

Date |
Fri, 07 May 2004 08:19:15 -0500 |

Hi David, Thanks for the clarification. I'll keep a look out for the new update, but meanwhile probably my best bet is to "manually" create lags a la gen lag_x = L.x and then include that in the predetermined vars expression: pre(x lag_x , lag(0,#) The reason I have to do it that way is because stata won't accept pre(x L.x , lag(0,#) I have been wondering why it refuses L.x. Is it an easy fix to reprogramme xtabond so that entering time series operators in the pre( ) won't cause an error message? Thanks, Tewodaj Date: Thu, 06 May 2004 17:53:55 -0500 From: "David M. Drukker, StataCorp" <ddrukker@stata.com> Subject: RE: st: Does the xtabond command have a mistake??? Tewodaj Mogues <tmogues@students.wisc.edu> asked about a problem with -xtabond- that occurs with lags of predermined variables. We have researched the issue and concluded that he is correct. -xtabond- is using levels lagged one or more periods as instruments for predetermined variables, regardless of the number of lags of the predermined variables included in the model. -xtabond- should only be using levels lagged p+1 or more times, where p is the number of lags of the predetermined variables in the model. This problem implies that the current -xtabond- produces inconsistent estimates of the parameters in models with lags of the predetermined variables. For instance, estimates from the model . xtabond y , pre(x , lag(1, .)) are not consistent. This problem does not arise when there are no lags of the predetermined variables. For instance, the current -xtabond- produces consistent estimates from the model . xtabond y , pre(x) -xtabond- also produces consistent estimates for the models . xtabond y , lags(2) . xtabond y l(0/1).x1 , pre(x2) . xtabond y l(0/1).x1 , pre(x2, lag(0, 1)) The problem will be fixed in an upcoming ado update that we expect to have in distribution early next week. --David drukker@stata.com ~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~ 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/

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