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st: RE: xtabond2 - variables in level


From   "Rodrigo Alfaro A." <ralfaro@bcentral.cl>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtabond2 - variables in level
Date   Mon, 7 Apr 2008 09:04:36 -0400

Tomasz,

I think you could do that with the option -ivopt- and -ivstyle-... see
http://ideas.repec.org/p/boc/asug06/8.html for details. 

Rodrigo.

-----Mensaje original-----
De: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] En nombre de Tomasz Boniek
Enviado el: Domingo, 06 de Abril de 2008 05:47 p.m.
Para: statalist@hsphsun2.harvard.edu
Asunto: st: xtabond2 - variables in level

Hi,

I have a problem with xtabond2. Suppose I run the following:

xtabond2 ln_tfp L.ln_tfp L.rents yr*, gmm(L.ln_tfp L.rents, lag(2 3))
iv(yr*) robust noleveleq small

where yr* are a series of year dummies and the economic meaning of the
other variable is irrelevant for my question.

In this case, if I'm not wrong, I will estimate a one-step difference
GMM. All the variables in this case will be in first difference. My
question is:
Is there a way to avoid differentiation of the variable L.rents? I would
like to use as a regressors (treating it as endogenous) not the first
difference lagged one period (i.e. rents(t-1)-rents(t-2)) but just the
lagged level (i.e. rents(t-1)). Is there a way to do that in Stata?

Thanks for the help,

Tomasz Boniek

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