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st: new xtabond2 feature used in Lancet letter

From   "David Roodman (" <>
To   "" <>
Subject   st: new xtabond2 feature used in Lancet letter
Date   Fri, 14 Sep 2012 16:37:19 +0000

This spring I added a feature to xtabond2, which offers a new way to reduce the instrument count and (one hopes) avoid the evils of instrument proliferation. The feature applies principal components analysis (PCA) to the "GMM-style" instruments and keeps only the largest components. See 

Today, I have a letter in the Lancet that illustrates the use of the feature. One thing I like about PCA is the way it facilitates graphical examination of the impact of reducing the instrument count on statistics such as the Hansen test.

Lancet letter:

Pretty graph:

Data and code:

Articles testing PCA:
Jens Mehrhoff,

Maria Elena Bontempi and Irene Mammi,


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