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re: st: issues with xtabond2

From   Christopher Baum <>
To   "" <>
Subject   re: st: issues with xtabond2
Date   Mon, 28 Nov 2011 13:56:04 -0500

My model originally used fixed-effects estimation but since one of the 
independent variables is a lagged term of the dependent variable, I believe 
I'm violating the strict exogeneity assumptions which is why I was trying to 
use a dynamic panel estimator such as GMM.  Is there another possible 
approach that you can recommend for dynamic panel estimation?

The Anderson-Hsiao estimator, which is an IV approach as well, but uses 'true' lags as IVs.  A-B DPD is a 'better mousetrap" if T is really small, but in your case it is not. help xtivreg or, from SSC, help xtivreg2 (by Mark Schaffer).


Kit Baum   |   Boston College Economics & DIW Berlin   |
                             An Introduction to Stata Programming  |
  An Introduction to Modern Econometrics Using Stata  |

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