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st: Instrumental variables in time series using GMM


From   Armand Fouejieu Azangue <armand.fouejieu-azangue@univ-orleans.fr>
To   statalist@hsphsun2.harvard.edu
Subject   st: Instrumental variables in time series using GMM
Date   Thu, 13 Sep 2012 11:44:33 +0200

Dear all,

In my current work I am facing an issue and I hope that some of you may help with some guidance. In time series, I would like to estimate a dynamic equation with GMM instrumental variables approach (in the spirit of "xtabond" command with panel data).

The equation form is the following: Yt = aYt-1 + bXt + cZt + ...+ ?t

The explanatory variables are endogenous and I would like to used their lag values as instruments. I was wondering if you could guide me to find the best command on STATA to do this. Both ?ivreg2? and ?gmm? commands are available, but which one is the most suitable? Or is there any another command to do this?

Many thanks


Armand

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