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st: xtabond with constraints


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
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