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Re: st: xtlsdvc: endogenous vs. predetermined regressors


From   Giovanni Bruno <giovanni.bruno@uni-bocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtlsdvc: endogenous vs. predetermined regressors
Date   Tue, 16 May 2006 16:45:15 +0200

Burt

> When estimating a dynamic panel model using xtlsdvc with an unbalanced
> panel, is it possible to:
> 
> - specify a subset of regressors as predetermined rather than strictly
> exogenous?

No, to the best of my knowledge there are no estimators for 
bias-approximations available for this case, although there
are some theoretical results in this direction. 

> - specify the maximum lags of the regressors to be used as instruments?

I guess you are referring to the instruments for the IV-GMM estimators 
used to initialize the procedure. The answer is again no, I'm afraid. 
It is in the agenda, however. 

More details on the proceudre and references can be found in my SJ paper:
http://ideas.repec.org/a/tsj/stataj/v5y2005i4p473-500.html

or in its wp version:
http://ideas.repec.org/p/cri/cespri/wp165.html

Giovanni
(author of xtlsdvc)


-- 
Giovanni S.F. Bruno
http://ideas.repec.org/e/pbr136.html
Istituto di Economia Politica, UniversitÓ Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
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