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Re:Re: st: Testing the validity of instruments when estimating a GMM model with


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re:Re: st: Testing the validity of instruments when estimating a GMM model with
Date   Thu, 15 Mar 2012 09:42:22 -0400

<>
On Mar 15, 2012, at 2:33 AM,Natalie wrote:

> I would like to use xtdpd because it also allows for predetermined 
> variables. However, if there is no test for xtdpd, I should use xtabond2 
> and the Hansen J.

xtabond2 (Roodman, SSC) allows you to put in whatever variables you want to include: it is fully flexible in its specification.
As its help indicates, you spell out the model, and then you indicate in options how every RHS variable is to be handled.
It is in that respect more flexible (and sometimes more tedious) than Stata's official commands. But the flexibility is sometimes
needed to do exactly what you want to do.

Kit


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                            An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
 An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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