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RE: st: instrumenting Moving average variable


From   Søren Møller-Larsson <soren_ml@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: instrumenting Moving average variable
Date   Mon, 4 Jun 2012 18:18:24 +0200

Dear Jorge

Thank you for replying. Yes I am estimating a dynamic model. Sorry for not mentioning the whole story. I am estimating with system GMM and I want to test whether my instruments are weak with the first stage statistics of -ivreg2-. In the system GMM setting I am considering treating the 3-year MA variable as predetermined and instrumenting it with lags 3 and longer, but I am not completely sure if this is the way to go about it either. 

However, my main question is still how the MA variable should be treated in the -ivreg2- setting.

Regards Soren

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