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st: RE: Collapse in Gmm


From   DE SOUZA Eric <[email protected]>
To   <[email protected]>
Subject   st: RE: Collapse in Gmm
Date   Wed, 5 Aug 2009 11:12:09 +0200

It is the way the instruments are treated.
This is well explained in the help to xtabond2
-help xtabond2-  and search for collapse

Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu


-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of 21443017
Sent: 05 August 2009 10:54
To: [email protected]
Subject: st: Collapse in Gmm


Dear All,

I am using -xtabond2- to run GMM-estimation. Below is the code I used


xi:xtabond2 y L.y x1  x2 x3 i.industry i.year, gmmstyle (y x1 x2 x3,
lag(3
5) collapse) ivstyle(i.industry  i.year)  twostep robust small


However, I also tried 

xi:xtabond2 y L.y x1  x2 x3 i.industry i.year, gmmstyle (y x1 x2 x3,
lag(3
5)) ivstyle(i.industry  i.year)  twostep robust small

Although the results are quite consistent, I was just wondering why the
results are different from including the -collaspe- and not.


Many Thanks

Best Wishes 

Wenwen


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