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From |
Pedro Ferreira <pedro.ferreira.cmu@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: xtabond with constraints |

Date |
Mon, 8 Aug 2011 11:37:22 -0400 |

Dear All, I am running a model of x(t+1) on x(t) and x(t-1) plus other controls. I need to restrict the coefficient on x(t-1) to be -1. Any suggestions for how to do this? My understanding is that xtabond2 does not allow for constraints. I can add x(t+1) with x(t-1) and make this my new dependent variable and instrument x(t) gmm style with deep lags of x, namely deeper than 4. Is this the best strategy? Another approach I have considered is to use 3SLS, first equation is just x(t+1) on x(t) and x(t-1) and I use the other equations to run regressions of x(t) and x(t-1) on deep lags. Using reg3 allows me to force the coefficient on x(t-1) to be equal to -1 in the first equation. Unfortunately, reg3 does not give me the AR tests for how good the lags are as instruments. Any ideas, thoughts would be highly appreciated. Thanks, Pedro Ferreira * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: xtabond with constraints***From:*Nick Cox <njcoxstata@gmail.com>

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