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


From   ma9545@bdvb.de
To   statalist@hsphsun2.harvard.edu
Subject   re: st: "xtdpdsys" command and "collapse" option
Date   Wed, 10 Oct 2012 15:48:13 +0200 (CEST)

Hi Kit,
Thank you for your answer.
I know the xtabond2 command, however, xtabond2 gives you huge
possibilities for estimation. My problem with xtabond2 is that you have a
lot of freedom to change the results by taking different options. I feel
like manipulating the results by using xtabond2. Therefore, I decided to
use the xtdpdsys command, which is quite simple and easy reproducible. So,
do I have an option "collapse" for  xtdpdsys?
Thank you in advance
Mehmet
> <>
> 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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