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st: xtabond2 gmmstyle vs ivstyle option


From   Samia Tavares <samia.tavares@rit.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 gmmstyle vs ivstyle option
Date   Wed, 22 Nov 2006 17:22:30 -0500

I have a question about the gmmstyle and ivstyle options in xtabond2. Suppose I want to estimate a model with a set of independent variables and a set of additional instruments (not included as independent variables). Would this command be correct?

xtabond2 depvar lagdepvar indep1 indep2 indep3 indep4, gmm(lagdepvar indep1 indep2 indep3 indep4) iv(lagdepvar indep1 indep2 indep3 indep4 inst1 inst2 inst3 inst4)

where inst1-4 are a set of additional instruments. In other words, can you have the same instruments in the gmmstyle and the ivstyle options?? Or would the correct specification be:

xtabond2 depvar lagdepvar indep1 indep2 indep3 indep4, gmm(lagdepvar indep1 indep2 indep3 indep4) iv(inst1 inst2 inst3 inst4)

I'm leaning towards the second option, but I would like to receive some feedback (and clarification about the two options) to be sure.

Thanks in advance!!!
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