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st: xtabond and ivreg2


From   "sistoand80" <sistoand80@libero.it>
To   "stata statta" <statalist@hsphsun2.harvard.edu>
Subject   st: xtabond and ivreg2
Date   Fri, 22 Oct 2004 12:31:22 +0200

Dear all statalisters,
I need some information about xtabond, and ivreg2.
Consider a dynamic panel regression as

(1)   Y(it) = a + B(1it)* L.Y(it) + B(2it)* X(it) + a(i) + u(it)

Anderson and Hsiao (1981) suggest to first difference this equation to drop individual effect a(i). Arellano and Bond (1991) solve endogeneity problem applying GMM estimator and instrumenting LD.Y(it) with T-3 lags of dependent variable and T-2 lags of exogenous variables. Xtabond use as instrument T-p-2 lags of dependent variable in level, T-2 lags of exogenous variables in first-difference and T-p-1 lags of predetermined variables in -difference, where p is the number of dependent lag setting in equation (1).
The problem is that when i try to replicate this command using ivreg2 I can't use all these instruments as an increase in their number (number of lags) reduce the number of observation disposable for the second stage of regression. How can i solve this problem?
Thank you in advance for your usefull advices,
Best Regards

Andrea Sisto
University of Eastern Piedmont





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