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st: Re: GMM or 2SLS with cluster adjustment or others


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: GMM or 2SLS with cluster adjustment or others
Date   Thu, 15 May 2008 08:52:53 -0400

Generally, no. If the lagged depvar is potentially a regressor, you should be looking at xtabond2. See David Roodman's excellent paper

http://ideas.repec.org/p/boc/asug06/8.html


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On May 15, 2008, at 02:33 , Yuluen wrote:


Thank you very much! I have one follow-up question on choosing between xtabond (or xtabond2) and xtivreg2 with cluster-robust SEs plus gmm2s. Under what circumstance would it make sense for me to include lagged dependent variables in the model (and thus considering xtabond)? In my case I am looking at factors affecting insurance premiums across countries (premium is my dependent variable). While I am not interested in how last year's premiums affect current premiums, it is possible that current year's premiums are associated with prior year's premiums, and thus I would like to control for that effect. Would xtivreg2 with cluster- robust SEs be sufficient?
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