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re: st: xtabond2 year dummies


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
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   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html




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