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re: st: xtabond2 year dummies

From   Christopher Baum <>
To   "" <>
Subject   re: st: xtabond2 year dummies
Date   Fri, 1 Apr 2011 10:37:11 -0400

In a dynamic model (I am using xtabond2) is it necessary to add the year dummies,...

You should add them as IV-style (rather than GMM-style) instruments. Then the number of instruments will rise, but only by the number of years - 1.

Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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