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st: Question about xtabond and lags
BRINDUSA ANGHEL wrote:
On 10/24/05, BRINDUSA ANGHEL <email@example.com> wrote:
Dear Stata users,
I am working with a panel dataset for 7 years.
I am trying to estimate with xtabond the following specification:
xtabond y x1 x2 x3, lags(1) artests(2)
However, I suspect that my x3 variable is endogeneous, so I try the following:
xtabond y x1 x2, lags(1) artests(2) pre(x3, endo).
So, when I run this estimation, STATA will use 5 lags (7-2) of x3 as additional instruments, right?
If I want to use only two lags of the endogeneous variable as instrumens, I understood that I have to write:
xtabond y x1 x2, lags(1) artests(2) pre(x3, lags(.,2) endo).
This means that Stata will use x3 in year 3 and x3 in year 4 as instruments for x3?
If anyone can help me, I would really appreciate it.
Thank you very much!
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