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st: RE: Instrumental variables in time series using GMM


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Instrumental variables in time series using GMM
Date   Thu, 13 Sep 2012 18:28:55 +0100

Armand,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Armand Fouejieu Azangue
> Sent: 13 September 2012 10:45
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Instrumental variables in time series using GMM
> 
> 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?

This looks like a straightforward linear IV/GMM estimation.  Either
-ivreg2- or Stata's built-in -ivregress- should do what you want.  The
-gmm- command is for more complicated specifications (e.g., nonlinear
models) but you don't need this flexibility.

HTH,
Mark

> 
> Many thanks
> 
> 
> Armand
> 
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