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st: xtabond2


From   "Fausto Araujo" <ytcfausto@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2
Date   Thu, 15 Feb 2007 13:24:25 +0000

I´ve used xtabond2 because I had a problem with sargan test.
In my equations, I use a exogenous variable (obit_nasc) like a instrument for lag depedent variable. The right way to type the formula is:

xtabond2 pcdin L(1/3).pcdin pcpib eleicp ano, twostep robust gmm(l4.(pcdin) pcpib eleicp ano) iv(obit_nasc)

When I use this way, hansen test is a problem. But if I use a parsimony structure, I approve hansen test, like:

xtabond2 pcdin L(1/3).pcdin pcpib eleicp ano, twostep robust gmm(l4.(pcdin) ) iv(obit_nasc)

My question is: Can I use the second way? it´s right?
Does somebody have a bibliography about xtabond2 implementation?

Thanks
Fausto

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