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st: WG: Strict exogeneity and xtivreg2


From   "Christian Arndt" <christian.arndt@iaw.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: WG: Strict exogeneity and xtivreg2
Date   Fri, 10 Nov 2006 17:58:27 +0100

Dear statalisters,

I am using lags of an endogenous variable in a macro panel 
setting, because I think of it as predetermined. 

So I use xtivreg2 and have something like:
xtivreg2 employment = (capital wages = l1.capital l1.wages), 
fe robust (with some more instrumented variables), altogether 
exactly identified.

When I think of my right hand side variables as 
predetermined, past values of them are not influenced by 
employment_t. But, current and past values are not strictly 
exogenous, and hence endogenous in case of the fe-Estimator 
(with time-demeaning).
 
1. Is xtivreg2 with the fe option robust to this problem, as e.g. the 
predetermined option in xtabond (wich uses first differences of the dependent var.)? Oder do I also need strict 
exogeneity of the instruments? (I only found a very general answer to a less specific question in the faq-list up to now)
2. Why is it, if point 1. should be no problem, that in the xtivreg2.help in the case of the 
fe-option, they use only l2.n and l3., but not l1.n and l2.n as 
in the case of the fd option?

Kind regards and thanx for help!
Christian 



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