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


From   Michael Hanson <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Problem with -estat endogenous- after -ivregress gmm- with time-series operators
Date   Fri, 26 Jun 2009 13:51:35 -0400

On Jun 26, 2009, at 1:01 PM, Brian P. Poi wrote:

On Fri, 26 Jun 2009, Michael Hanson wrote:

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.
...

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.

This is a bug in the Stata 10 version of -ivregress-, and it will be fixed in a forthcoming ado-file update.

Incidentally, Stata 11 does not have this problem. In Stata 11, the Mata functions st_data() and st_view() allow you to specify time- series- operated variables and factor variables directly without having to use a utility beforehand to create temporary variables.

Thanks for that information, Brian, both regarding Stata 10 and Stata 11. Much appreciated.

Best,
Mike

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