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st: RE: xtabond2--number of instruments.


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtabond2--number of instruments.
Date   Tue, 28 Jun 2011 09:29:33 +0200

Have a look at slide 21 in this document:  http://www.nuff.ox.ac.uk/users/bond/dynamic1.pdf
and see how the instruments are defined. (The slides are not numbered.)
The whole course is worth working through.

Eric


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu



-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Steven Archambault
Sent: 28 June 2011 00:15
To: statalist@hsphsun2.harvard.edu
Subject: st: xtabond2--number of instruments.

Hi all,

I am trying to figure out xtabond2. I don't see why this command gives me 42 instruments

xtabond2 lnyp l(1/2).lnyp yr1988-yr2009, gmm(l(1).lnyp, laglimits(1 2)) robust noleveleq

This equation gives me 56 instruments

 xtabond2 lnyp l(1/2).lnyp yr1988-yr2009, gmm(l(1).lnyp, laglimits(1 3)) robust noleveleq

Is it counting instruments for each year? I don't quite get it.

By the way, there are 1752 observations, 122 panels.

I'd appreciate the info. Also, I am reading "How to do xtabond2". Its very informative, but I am still unclear.

Thanks!

-Steve


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