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st: AW: Second-differencing in -xtabond2-


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: Second-differencing in -xtabond2-
Date   Wed, 29 Jul 2009 16:53:17 -0400

<>

You may want to look at
http://www.stata-journal.com/article.html?article=st0159


HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Giorgia Maffini
Gesendet: Mittwoch, 29. Juli 2009 08:15
An: statalist@hsphsun2.harvard.edu
Betreff: st: Second-differencing in -xtabond2-

Dear Statalist Members, 

I wonder if anybody could kindly help me out with the following problem. 

I am using a difference-GMM estimator (Arellano and Bond (1991), Review of
Economic Studies - AB) employing -xtabond2-. Instead of first-differencing,
I
would like to second-difference the equation and instrument some of its
endogenous covariates with suitable lags of their own levels. 

In other words, the dependent variable in the newly differenced equation
would
need to be D2.y = y_(it)-y_(it-2) [instead of D.y = y_(it)-y_(it-1), as in
the
standard AB framework]. The endogenous covariate would be D2.x =
x_(it)-x_(it-2)
[instead of D.x = x_(it)-x_(it-1), as in the standard AB framework]. I would
instrument D2.x with the levels x_(it-3), x_(it-4), etc. and other suitable
instruments (e.g. z_it). 

The following command does NOT seem to produce the requested procedure: 

xi: xtabond2 D2.y L.D2.y D2.x , /*
*/ gmm( y  x , lag(3 4) collapse ) iv( z , passthru ) /*
noleveleq two robust 

Does anybody know how to implement the aforementioned estimation using
-xtabond2- ? 

The version of Stata that I am using is the following:

Stata/MP 10.1 for Windows 64-bit x86-64
Born 02 Feb 2009

Thank you for your consideration.

Regards,

Giorgia 

- 
Giorgia Maffini - Research Fellow
Oxford University Centre for Business Taxation - Said Business School
Park End Street, Oxford OX1 1HP
Tel: 01865 614847

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