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st: xtabond2 and industry dummies


From   "Ana Lacerda" <lacerda06@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 and industry dummies
Date   Thu, 16 Aug 2007 16:21:49 +0100

Dear statalist,

If you could help on this I would appreciate very much.

Using xtabond2 I am running an investment type regression. I am
controling for time and industry effects with time dummies and
INDUSTRY dummies. I am including the time dummies in ivstyle options.
Should I also include the INDUSTRY dummies in the IVstyle options?
- If I include them the p-value of the sargan test is zero.
- However, if I do not include them the p-value of the Sargan test is
about 0.6-0.8.

This result is robust for different sets of instruments of the
remaining variables.

What is the right way?

thanks in advance,
Ana Lacerda
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