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


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

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