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Re: st: xtabond and ivreg2


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtabond and ivreg2
Date   Fri, 22 Oct 2004 15:37:29 +0100

Andrea,

Have a look at the "Methods and Formulas" section for xtabond in the 
manual, or at the description of the "collapse" option in the help 
file for xtabond2 (if you haven't already installed it).  It's too 
hard to describe in brief - to quote from the manual, "The most 
difficult part of these estimators is defining and implementing the 
matrix of instruments...."

Hope this helps.

--Mark

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

> 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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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert

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