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st: RE: Re: WG: Strict exogeneity and xtivreg2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: WG: Strict exogeneity and xtivreg2
Date   Sat, 11 Nov 2006 18:49:23 -0000

Christian,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Rodrigo A. Alfaro
> Sent: 11 November 2006 00:47
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Re: WG: Strict exogeneity and xtivreg2
> 
> Arellano-Bond is a linear GMM estimator... not IV. For 
> example, for AR(1) model y(i,t) = a(i) + b*y(i,t-1) +e(i,t), 
> AB is a weighted average of IV estimators for t=1,...T-1. All 
> of them using "t" instruments (the lags). You don't have lags 
> of your dependent in your specification you don't need AB. 
> Rodrigo.
> 
> 
> ----- Original Message -----
> From: "Christian Arndt" <christian.arndt@iaw.edu>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Friday, November 10, 2006 11:58 AM
> Subject: st: WG: Strict exogeneity and xtivreg2
> 
> 
> 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?

This one is easy to answer - the example in the help file that you cite
doesn't have any particular value as a guide to good practice.  I gave
the examples practically no thought when I put the help file together.
Don't take them too seriously!

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes


> 
> Kind regards and thanx for help!
> Christian
> 
> 
> 
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