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Re: st: xtabond with constraints


From   Pedro Ferreira <pedro.ferreira.cmu@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtabond with constraints
Date   Mon, 8 Aug 2011 20:07:03 -0400

Thanks Nick,

I have included that approach in my previous message. However, there
is a dynamic panel nature to what I am trying to do. Using your
variable names below, in my case y = x(t+1) and I have x(t) on the
right hand side. I am wondering if you have any insight about what is
best: xtabond with y_2 as a function of x(t) or reg3 with the
constraint that the coefficient on x(t-1) should be -1 (using the
other equations in reg3 to instrument x(t) and x(t-1) with lags)?

Thanks a lot!

Pedro


On Mon, Aug 8, 2011 at 12:51 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> If the coefficient in x[t-1] must be identically -1 then you can add
> that variable to the response variable before you fit a model in terms
> of other  predictors.
>
> That is
>
> y = <some stuff> -x[t-1] ...
>
> is equivalent to
>
> y + x[t-1] = <some stuff>
>
> so model y_2 = y + x[t-1]
>
> Nick
>
> On Mon, Aug 8, 2011 at 4:37 PM, Pedro Ferreira
> <pedro.ferreira.cmu@gmail.com> wrote:
>> 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,
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