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re: st: "xtdpdsys" command and "collapse" option


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re: st: "xtdpdsys" command and "collapse" option
Date   Wed, 10 Oct 2012 10:34:07 +0000

<>
Mehmet said

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?

Yes. It's called xtabond2.  ssc install xtabond2 and estimate your model there.

Kit


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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