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Re: st: AW: System GMM with xtabond2


From   Florian Schwab <[email protected]>
To   statalist <[email protected]>
Subject   Re: st: AW: System GMM with xtabond2
Date   Tue, 4 Mar 2014 13:51:47 +0100

The term lags (1 1) inside the gmm() term should do exactly this, no?

2014-03-04 10:41 GMT+01:00 Dithmer, Jan <[email protected]>:
> Yes, because you instrument the dependent variable (not the lagged dependent variable) according to your code.
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected] [mailto:[email protected]] Im Auftrag von Florian Schwab
> Gesendet: Monday, March 03, 2014 6:11 PM
> An: statalist
> Betreff: st: System GMM with xtabond2
>
> Hello Statalist
>
> for a panel of individuals, I would like to estimate a function explaining the probability of being arrested (y) dependent on
>
> - the lagged dependent variable y(i, t-1), to say: having been arrested the year before
> - a vector X(x1(i,t-1), ..., x10(i,t-1)) of the individuals characteristics (first lag), all of which are used as instruments
> - a vector Z(z1, ..., z4) of presumably strictly exogenous variables such as overall criminality rate, labor market participation rate etc.
>
> my corresponding Stata command is
>
> xtabond2 y L.y x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 z1 z2 z3 z4, gmm(y x1 x2
> x3 x4 x5 x6 x7 x8 x9 x10, lags(1 1) collapse) iv (z1 z2 z3 z4) twostep robust
>
> However, I don't get a significant effect of L.y which is fairly unlikely since all comparable studies find one.
>
> Is there something wrong with the specification of the xtabond2 command ?
>
> Thanks in advance.
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