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st: Problem with -estat endogenous- after -ivregress gmm- with time-series operators


From   Michael Hanson <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Problem with -estat endogenous- after -ivregress gmm- with time-series operators
Date   Fri, 26 Jun 2009 12:08:08 -0400

As the subject might give away, I believe I have found an obscure bug (a term I don't use lightly) with -estat endogenous- following an - ivregress gmm- estimation in which one or more of the variables in the estimation use Stata's time series operators. Below is a stylized estimation problem (based loosely on Campbell & Mankiw, 1989, for the curious) that exhibits the apparent bug.

// begin example

clear
use http://www.stata-press.com/data/r10/lutkepohl2.dta

gen c = log(consump)
gen y = log(inc)
gen s = c - y

// Approach 1: works OK
ivregress 2sls D.c (D.y = L(2/4)D.c L(2/4)D.y L2.s), vce(hac nw 1)
estat endogenous

// Approach 2: gives error msg in -estat- command
ivregress gmm D.c (D.y = L(2/4)D.c L(2/4)D.y L2.s), vce(hac nw 1)
estat endogenous

// Approach 3: works OK
gen Dc = D.c
gen Dy = D.y
foreach v in c y {
	forval k = 2/4 {
		gen L`k'D`v' = L`k'.D`v'
	}
}
gen L2s = L2.s
ivregress gmm Dc (Dy = L2Dc-L4Dc L2Dy-L4Dy L2s), vce(hac nw 1)
estat endogenous

// end example

The error seems to only occur with the -gmm- form of -ivregress- (approach 2), and not with the -2sls- form (approach 1). Similarly, estimating the identical equation with -gmm- but first creating variables that do not use the time series operators (approach 3) does not yield an error.

My Stata 10 manuals must be sufficiently old as they do not contain documentation on -estat endogenous-, but -help ivregress_postestimation- didn't turn up any obvious reason for the error message I see.

With the announcement of Stata 11 in a month or so, I'm still hoping this issue will be fixed in an update to Stata 10.

Thanks for any assistance,
Mike


Reference: John Y. Campbell and N. Gregory Mankiw, "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Macroeconomics Annual 1989, eds. Olivier Jean Blanchard and Stanley Fischer, Boston: MIT Press.
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