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Re: st: Structural Break Type Test with Fixed Effects IV and GMM

From   Austin Nichols <>
Subject   Re: st: Structural Break Type Test with Fixed Effects IV and GMM
Date   Sat, 10 Apr 2010 15:07:03 -0400

Dominic Soon <>
-fe- is not an option for -xtabond-.  Are you thinking you have a
dynamic panel model, or S is endogenous (i.e. you mean -xtivreg-)?  If
the latter, what instruments are you using?  You probably want L and
L*S included as regressors, and you then have 2 endog vars: S and L*S.
 Then you want instruments that differentially affect S in the early
and late periods.

On Fri, Apr 9, 2010 at 11:34 PM, Dominic Soon
<> wrote:
> Dear Statalisters,
> I am trying to estimate a regression of two variables output (Y) on
> R&D capital stock (S), as well as some other variables (e.g. labour,
> capital, so on and so forth).  For simplicity, let's say the model is:
> Y_it = a_i + beta * S_it + error term
> I am trying to see whether the coefficient beta is different between
> an (assumed) "early" and "late" period.  I'm also attempting to run
> the regression using both fixed effects and GMM.
> The question is - are there any issues with this methodology,
> particularly when running a GMM estimation.  Suppose I ran something
> like:
> xtabond Y S S_late, fe
> where S_late is equal to L times S, with L being a dummy variable that
> is equal to 1 if t is later than my (assumed) breakpoint, can the
> t-statistics be interpreted sensibly?

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