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st: "xtdpdsys" command and "collapse" option


From   ma9545@bdvb.de
To   statalist@hsphsun2.harvard.edu
Subject   st: "xtdpdsys" command and "collapse" option
Date   Tue, 9 Oct 2012 13:00:51 +0200 (CEST)

Dear Freinds,
I run a xtdpdsys (system GMM estimation). However, the number of
instruments is abnormally high. xtdpdsys is an officially command of
stata. Roodman (2006) offered an user-written version for a system GMM
estimation (xtabond2). The xtabond2 command has a "collapse" option, in
which you can limit instrument proliferation. Since I keep using the
xtdpdsys command, my question is, is there an additionally option within
the command xtdpdsys to limit the number of instruments? The handbook does
not deal with such an option. But is there an add-on, which can be
downloaded from stata?
Thanks in advance,
Mehmet Altun
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