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From |
Misha Spisok <misha.spisok@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Dynamic panel data with dynamic and endogenous regressor |

Date |
Tue, 15 Jun 2010 13:43:33 -0700 |

Hello, Statalist, My question, in short, is, "What model (and corresponding Stata command) is appropriate for dynamic panel data with an endogenous regressor (i.e., an endogenous regressor besides the lagged dependent variable) that is itself dynamic?" For example, suppose I am interested in the effect of x on y, but x itself is endogenous (and, of course, y_i,t-1 is as well) and modeled dynamically. y_it = b0 + b1*y_i,t-1 + b2*x_i,t-1 + e_it with, as usual, e_it = m_i + n_it Something like this could be handled, as I understand, by -xtabond-, -xtabond2-, -xtdpd-, among other commands. But if also, x_it = c0 + c1*x_i,t-1 + c2*y_i,t-1 + u_it with, similar to the above, u_it = g_i + v_it so that y_i,t-1 is enogenous along with x. Without instruments "waiting in the wings," are the Arellano-Bond/Blundell-Bond/Arellano-Bover style instruments sufficient? If so, can this be implemented in, e.g., -xtabond-, -xtabond2-, -xtdpd-, etc.? Or is this best done with Stata's -gmm- command? If one does, however, have an instrument, say z, for x (or, say, w, for y) does this change anything? This strikes me as "merely" system GMM that has, beyond the system of levels and differences of y with the "usual" instruments, an additional system of levels and differences of x with the "usual" instruments (plus, ideally(?), some more instruments). I apologize for any lack of clarity or misuse of terminology; I'm happy to be corrected. Alos, if someone can suggest some references, I would appreciate it; the treatments that I have found don't cover this case. Thank you for your time. Best, Misha * * 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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