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st: Question about xtabond and lags


From   Marcello Pagano <pagano@hsph.harvard.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Question about xtabond and lags
Date   Thu, 27 Oct 2005 09:11:20 -0400

For Brindusa:

BRINDUSA ANGHEL wrote:

On 10/24/05, BRINDUSA ANGHEL <abrindu@gmail.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!

Brindusa Anghel


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