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RE: st: xtabond2 year dummies


From   Humaira Asad <humairaasad@hotmail.com>
To   STATA HELP <statalist@hsphsun2.harvard.edu>
Subject   RE: st: xtabond2 year dummies
Date   Fri, 1 Apr 2011 14:48:16 +0000

 
 
 
I am adding them in ivstyle() adding them makes all my regressors insignificant. Is there a sultion to this problem?




Humaira Asad
PhD Research Scholar

UoE Business School

University of Exeter, England
















----------------------------------------
> From: kit.baum@bc.edu
> To: statalist@hsphsun2.harvard.edu
> Date: Fri, 1 Apr 2011 10:37:11 -0400
> Subject: re: st: xtabond2 year dummies
>
> <>
> 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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