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Re: st: RE: xtabond2--number of instruments.


From   Steven Archambault <archstevej@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: xtabond2--number of instruments.
Date   Wed, 29 Jun 2011 11:31:25 -0600

Hi Eric,

I appreciate the links, those definitely help. But, I still feel like
I cannot predict what the number of instruments will be before I run
the regression. For example, using the sample data for xtabond2
(http://www.stata-press.com/data/r7/abdata.dta), I run the following
simple regressions and get the number of instruments.

xtabond2 n l.n k, gmm(l.n) noleveleq   (28 instruments for 751 obs and
141 groups)

I would have expected a minimum 4 instruments per group, since there
are 5-7 annual observations per group. Where is my miscalculation?

Thanks,
Steve

On Tue, Jun 28, 2011 at 7:19 AM, DE SOUZA Eric
<eric.de_souza@coleurope.eu> wrote:
>
> To your question concerning whether it is counting instruments for each year, the answer is yes. I forgot to answer this in my previous reply.
> See in -xtabond2- the difference between instruments introduced with the option -iv- and instruments introduced with the option -gmm-
>
> 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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