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st: new xtabond2 feature used in Lancet letter


From   "David Roodman (droodman@cgdev.org)" <DRoodman@cgdev.org>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
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 http://www.stata.com/statalist/archive/2012-04/msg00681.html. 

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:
http://www.thelancet.com/journals/lancet/article/PIIS0140-6736(12)61529-3/fulltext

Pretty graph:
http://www.thelancet.com/journals/lancet/article/PIIS0140673612615293/images?imageId=gr1&sectionType=lightBlue&hasDownloadImagesLink=true

Data and code:
http://blogs.cgdev.org/open_book/2012/09/cross-post-the-aid-fungibility-debate-and-medical-journal-peer-review.php

Articles testing PCA:
Jens Mehrhoff, http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2009/2009_11_06_dkp_31.pdf?__blob=publicationFile

Maria Elena Bontempi and Irene Mammi, http://mpra.ub.uni-muenchen.de/40720/

--David


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