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From |
"Martin Baumgarten" <Pandaros@gmx.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: different lag length system GMM |

Date |
Fri, 20 Nov 2009 22:35:59 +0100 |

Dear statalist-members, maybe someone can help me out here. I have the following equation using the xtdpd command y(i,t)=a0+a1*y(i,t-1)+a2*x1(i,t)+a3*x2(i,t)+x3*time+e(i,t) where l.y is the lagged value of the lhs variable, x1 and x2 are different regressors, and a1,a2(..) are coefficients. Assume now I specify the model as follows by using xtdpd y l.y x1 x2 dgmmiv(l.y x1,lagrange(3 3))dgmmiv(x2,lagrange(2 2)) lgmmiv(l.y x1,lag(2))lgmmiv( x2,lag(3))iv(time) artests(2) hascons vce(robust) Note how I specified different lag length for different variables. I do that, to have a much better p-value for the Sargan-test and for the serial correlation test. However, I do not know if this econometrically or conventionally allowed. Is it? I also cannot remember to have read in the literature about It would be great if somebody could give me answer with a short explanation. Best wishes Martin -- GRATIS für alle GMX-Mitglieder: Die maxdome Movie-FLAT! Jetzt freischalten unter http://portal.gmx.net/de/go/maxdome01 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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