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Re: st: instrumenting Moving average variable


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: instrumenting Moving average variable
Date   Mon, 4 Jun 2012 11:53:30 -0400

Are you trying to estimate a dynamic panel data model? If not, why is
l.y endogenous?
_______________________
Jorge Eduardo Pérez Pérez


On Mon, Jun 4, 2012 at 8:17 AM, Søren Møller-Larsson
<soren_ml@hotmail.com> wrote:
> Dear statalisters
>
> I have an dependent variable y, the l.y serves as an explanatory variable and will be instrumented with l2.y. Furthermore I have and a set of exogenous variables x.
> I use annual data.
> One of the seemingly exogenous variables are used in 3-year Moving averages resulting in overlapping periods. Therefore I reckon it cannot be interpreted as exogenous anymore and I consider instrumenting it with its third lag or alternatively a lagged excluded instrument.
>
> I want to perform the various first-stage tests of either ivreg2 or xtivreg2 to check the instrument validity. How should the 3-year MA variable be treated in a regression like the one below?
>
> ivreg2 y x (l.y = l2.y), first ffirst robust gmm2s
>
> Any help is appreciated. thanks
>
> Regards Soren
> Aarhus university
>
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