[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
Re: st: endogeneity and IV
Quoting Katarina Lynch <email@example.com>:
> Thank you, Mark!
> >The Sargan(-Hansen) stat at the bottom of the xtabond output is a
> test of
> >your orthogonality conditions, i.e., that your exogenous
> >variables and instruments are indeed exogenous.
> Before using xtabond command how can I determine which variables
> should be
> lagged as instruments? Should I run xthausman command for each
> regressor? Or
> is it totally up to my intuition?
"Priors" is probably a better choice than "intuition" when you write up
your results. -xthausman- won't help because in that framework, fixed
effects is consistent, and if that were so, you wouldn't need -xtabond- or
its sibling -xtabond2-.
> One more question, does xtabond command take first differences
> automatically, or should I do it by myself?
It's automatic. And before you go further, you might want to have a look
at David Roodman's -xtabond2-.
> Thanks in advance!
> Machen Sie lästigen E-Mails ein Ende. MSN Hotmail mit
> http://www.msn.de/antispam/prevention/junkmailfilter Jetzt kostenlos
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed. If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail. In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail. Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail. Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
* For searches and help try: